- Tytuł:
- PROPERTIES OF SELECTED SIGNIFICANCE TESTS FOR EXTREME VALUE INDEX
- Autorzy:
- Pekasiewicz, Dorota
- Powiązania:
- https://bibliotekanauki.pl/articles/655815.pdf
- Data publikacji:
- 2014
- Wydawca:
- Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
- Tematy:
-
extreme index
size of test
power of test
Pickands estimator
Hill estimator - Opis:
- The paper presents two tests verifying the hypothesis about the shape parameter of the generalized distribution of maximum statistic. It is called the extreme value index. The inverse of the positive index is called the tail index and determines the degree of fatness of the tail. The asymptotic properties of the Pickands and the Hill estimator of the shape parameter are used to construct the test statistics. Simulation studies of the properties of these significance tests allow us to formulate some conclusions regarding their applications.
- Źródło:
-
Acta Universitatis Lodziensis. Folia Oeconomica; 2014, 3, 302
0208-6018
2353-7663 - Pojawia się w:
- Acta Universitatis Lodziensis. Folia Oeconomica
- Dostawca treści:
- Biblioteka Nauki
Artykuł