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修正的Pickands估计样本点分割的自助估计方法
引用本文:欧阳资生,吴喜之.修正的Pickands估计样本点分割的自助估计方法[J].应用数学学报,2006,29(2):254-265.
作者姓名:欧阳资生  吴喜之
作者单位:1. 湖南大学工商管理学院,长沙,410082;湖南商学院信息系,长沙,410205
2. 中国人民大学统计学院,北京,100872
基金项目:国家哲学社会科学基金;浙江省湖州市自然科学基金
摘    要:在本文中,我们着重研究了极值指数的修正的Pickands型估计的样本点分割方法.我们在渐近二阶矩最小的准则下,利用子样本自助法给出了修正的Pickands型估计的样本点分割方法,从理论上证明了该估计的大样本性质,说明了这种分割在渐近二阶矩最小的准则下是渐近最优分割,同时提出了自适应的样本点分割的自助算法.

关 键 词:极值指数  Pickands估计  自助法
收稿时间:2004-06-28
修稿时间:2004-06-282005-11-14

Using a Bootstrap Method to Choose the Sample Fraction in Modified Pickands Estimation
OUYANG ZISHENG,WU XIZHI.Using a Bootstrap Method to Choose the Sample Fraction in Modified Pickands Estimation[J].Acta Mathematicae Applicatae Sinica,2006,29(2):254-265.
Authors:OUYANG ZISHENG  WU XIZHI
Institution:College of Business Administration, Hunan University, Changsha 410082; Department of Information, Hunan Business College, Changsha 410205; Department of Statistics, Renmin University of China, Beijing 100872
Abstract:In this paper, the optimality problem of sample fraction in modified Pickands estimation is studied. Under the asymptotic second moment principle, recurring to subsample bootstrap method, we solve the optimality problem of sample fraction in modified Pickands estimation, and prove the limit properties, illuminate our sample fraction is optimal under the asymptotic second moment principle. Simultaneity, an adaptive bootstrap procedure is given.
Keywords:extreme value index  Pickands estimation  bootstrap
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