Publications Meetings The Profession Membership Programs Math Samplings Policy & Advocacy In the News About the AMS
   
Mobile Device Pairing
Theory of Probability and Mathematical Statistics
Theory of Probability and Mathematical Statistics
ISSN 1547-7363(online) ISSN 0094-9000(print)

 

A location invariant moment-type estimator. I


Authors: Cheng-Xiu Ling, Zuoxiang Peng and Saralees Nadarajah
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, tom 76 (2007).
Journal: Theor. Probability and Math. Statist. 76 (2008), 23-31
MSC (2000): Primary 60F99
Published electronically: July 10, 2008
MathSciNet review: 2368736
Full-text PDF Free Access

Abstract | References | Similar Articles | Additional Information

Abstract: The moment's estimator (Dekkers et al., 1989) has been used in extreme value theory to estimate the tail index, but it is not location invariant. The location invariant Hill-type estimator (Fraga Alves, 2001) is only suitable to estimate positive indices. In this paper, a new moment-type estimator is studied, which is location invariant. This new estimator is based on the original moment-type estimator, but is made location invariant by a random shift. Its weak consistency and strong consistency are derived, in a semiparametric setup.


References [Enhancements On Off] (What's this?)


Similar Articles

Retrieve articles in Theory of Probability and Mathematical Statistics with MSC (2000): 60F99

Retrieve articles in all journals with MSC (2000): 60F99


Additional Information

Cheng-Xiu Ling
Affiliation: Department of Mathematics, Southwest Normal University, Chongqing 400715, P. R. China
Email: pzx@swu.edu.cn

Zuoxiang Peng
Affiliation: Department of Mathematics, Southwest Normal University, Chongqing 400715, P. R. China

Saralees Nadarajah
Affiliation: Department of Statistics, University of Nebraska–Lincoln, Lincoln, Nebraska 68583, USA
Email: snadaraj@unlserve.unl.edu

DOI: http://dx.doi.org/10.1090/S0094-9000-08-00728-X
PII: S 0094-9000(08)00728-X
Keywords: Extreme value index, location invariant property, moment estimation, strong and weak consistencies, order statistics, regular varying functions
Received by editor(s): November 29, 2005
Published electronically: July 10, 2008
Article copyright: © Copyright 2008 American Mathematical Society