Determination of change-point of tail index
This article deals with a new estimator for tail index, introduced by proof V. Paulauskas in [1]. Hypothesis of a change-point at beforehand-unknown place is examined. Besides simple theoretical calculations, simulation results are presented, which enable to expect successful practical applications...
Saved in:
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Vilnius University Press
2003-12-01
|
| Series: | Lietuvos Matematikos Rinkinys |
| Online Access: | https://www.journals.vu.lt/LMR/article/view/32502 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1832593162206445568 |
|---|---|
| author | Kęstutis Gadeikis |
| author_facet | Kęstutis Gadeikis |
| author_sort | Kęstutis Gadeikis |
| collection | DOAJ |
| description |
This article deals with a new estimator for tail index, introduced by proof V. Paulauskas in [1]. Hypothesis of a change-point at beforehand-unknown place is examined. Besides simple theoretical calculations, simulation results are presented, which enable to expect successful practical applications of the estimator.
|
| format | Article |
| id | doaj-art-d8326d510a64469d8952fa75fd0c05e6 |
| institution | Kabale University |
| issn | 0132-2818 2335-898X |
| language | English |
| publishDate | 2003-12-01 |
| publisher | Vilnius University Press |
| record_format | Article |
| series | Lietuvos Matematikos Rinkinys |
| spelling | doaj-art-d8326d510a64469d8952fa75fd0c05e62025-01-20T18:17:33ZengVilnius University PressLietuvos Matematikos Rinkinys0132-28182335-898X2003-12-0143spec.10.15388/LMR.2003.32502Determination of change-point of tail indexKęstutis Gadeikis0Vilnius University This article deals with a new estimator for tail index, introduced by proof V. Paulauskas in [1]. Hypothesis of a change-point at beforehand-unknown place is examined. Besides simple theoretical calculations, simulation results are presented, which enable to expect successful practical applications of the estimator. https://www.journals.vu.lt/LMR/article/view/32502 |
| spellingShingle | Kęstutis Gadeikis Determination of change-point of tail index Lietuvos Matematikos Rinkinys |
| title | Determination of change-point of tail index |
| title_full | Determination of change-point of tail index |
| title_fullStr | Determination of change-point of tail index |
| title_full_unstemmed | Determination of change-point of tail index |
| title_short | Determination of change-point of tail index |
| title_sort | determination of change point of tail index |
| url | https://www.journals.vu.lt/LMR/article/view/32502 |
| work_keys_str_mv | AT kestutisgadeikis determinationofchangepointoftailindex |