Properties of Hill’s estimator of extreme value index for impure samples |
| |
Authors: | I V Rodionov |
| |
Institution: | 1. Faculty of Mechanics and Mathematics, Moscow State University, Leninskie Gory, Moscow, 119991, Russia
|
| |
Abstract: | The consistency and asymptotic normality of the Hill estimator of the extreme value index is considered for a sample from a sequence of independent and identically distributed random variables with asymptotically increasing additive impurity. In addition, the cases when the statistical construction of the estimator is possible are analyzed. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|