| Title |
Pareto dėsnio uodegos indekso įvertinys / |
| Translation of Title |
Estimator of the tail index for the Pareto law. |
| Authors |
Paulauskaitė, Ingrida ; Vaičiulis, Marijus |
| Full Text |
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| Is Part of |
Jaunųjų mokslininkų darbai.. Šiauliai : Šiaulių universiteto leidykla. 2011, Nr. 1, p. 131-136.. ISSN 1648-8776 |
| Keywords [eng] |
DPR tail index ; tail index ; aggregation ; max-aggregation |
| Abstract [eng] |
By modifying Qi (2010) tail index estimator we introduce shift and scale free tail index estimator for the 3-parametric Pareto law. Asymptotic normality of the new estimator is derived. By applying de Haan and Peng (1998) comparison scheme for the tail index estimators it is obtained that new estimator outperforms Qi (2010) estimator when observations are independent and identically distributed Pareto random variables. |
| Published |
Šiauliai : Šiaulių universiteto leidykla |
| Type |
Journal article |
| Language |
Lithuanian |
| Publication date |
2011 |
