| Title |
Skirstinio uodegos indekso max-DPR įvertis / |
| Translation of Title |
Max- DPR estimation of distribution tail index. |
| Authors |
Kaklauskas, Liudvikas ; Vaičiulis, Marijus |
| Full Text |
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| Is Part of |
Jaunųjų mokslininkų darbai.. Šiauliai : VšĮ Šiaulių universiteto leidykla. 2011, Nr. 1, p. 126-130.. ISSN 1648-8776 |
| Keywords [eng] |
DPR tail index ; tail index ; aggregation ; max-aggregation |
| Abstract [eng] |
In this paper we introduce a so-called max-DPR tail index estimator. This estimator is based on the combination of well-know distribution DPR tail index and max-aggregation of observations. The asymptotic normality of max-DPR estimator is analyzed with the following conditions: (i) aggregation order is fixed and (ii) aggregation order tends to infinity together with number of observations. It is proven that under fixed aggregation order max-DPR estimator has lesser minimal asymptotic mean aquared error. |
| Published |
Šiauliai : VšĮ Šiaulių universiteto leidykla |
| Type |
Journal article |
| Language |
Lithuanian |
| Publication date |
2011 |
