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A location invariant moment-type estimator II
Author(s):
Cheng-Xiu
Ling;
Zuoxiang
Peng;
Saralees
Nadarajah
Original publication:
Teoriya Imovirnostei ta Matematichna Statistika,
vipusk 77
(2007).
Journal:
Theor. Probability and Math. Statist.
No. 77
(2008),
177-189.
MSC (2000):
Primary 60F99
Posted:
January 21, 2009
MathSciNet review:
2432781
Retrieve article in:
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Abstract |
References |
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Additional information
Abstract:
The moment 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 for estimating 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 it is made location invariant by a random shift. Its asymptotic normality is derived, in a semiparametric setup.
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Additional Information:
Cheng-Xiu
Ling
Affiliation:
Department of Mathematics, Southwest Normal University, Chongqing 400715, People's Republic of China
Zuoxiang
Peng
Affiliation:
Department of Mathematics, Southwest Normal University, Chongqing 400715, People's Republic of China
Email:
pzx@swu.edu.cn
Saralees
Nadarajah
Affiliation:
Department of Statistics, University of Nebraska-Lincoln, Lincoln, Nebraska 68583
Email:
snadaraj@unlserve.unl.edu
DOI:
10.1090/S0094-9000-09-00756-X
PII:
S 0094-9000(09)00756-X
Keywords:
Extreme value index,
location invariant property,
moment estimation,
asymptotic normality,
order statistics,
regular varying functions
Received by editor(s):
29/NOV/2005
Posted:
January 21, 2009
Copyright of article:
Copyright
2009,
American Mathematical Society
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