- Tytuł:
- k-th record estimator of the scale parameter of the α-stable distribution
- Autorzy:
-
Stachura, Michał
Wodecka, Barbara - Powiązania:
- https://bibliotekanauki.pl/articles/2156989.pdf
- Data publikacji:
- 2022-12-15
- Wydawca:
- Główny Urząd Statystyczny
- Tematy:
-
stable distribution
scale parameter estimator
k-th record values - Opis:
- Various techniques of scale parameter estimation have been proposed in the case of alpha stable distributions. In the paper, the authors present an estimation technique that involves the k-th record theory. Although this theory is over 40 years old, its implementation in the classical extreme value theory – being the other cornerstone of the presented approach – is quite new, and tempting. Several theoretical properties of the introduced scale parameter estimators are presented. With the use of Monte Carlo methods, a comparative analysis is performed between the approach based on k-th records and approaches based on Hill’s and Pickands’ estimators. Additionally, the paper uses a real-life data set to illustrate how to effectively apply the k-th record estimator of the scale parameter. The research indicates several advantages of the k-th record approach over its other counterparts, especially when dealing with incomplete information about the underlying sample.
- Źródło:
-
Statistics in Transition new series; 2022, 23, 4; 203-215
1234-7655 - Pojawia się w:
- Statistics in Transition new series
- Dostawca treści:
- Biblioteka Nauki
Artykuł