| ESTIMATING EXTREME-VALUE INDEX FROM RECORDS |
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| 作者姓名： | Qi Yongcheng |
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| 作者单位： | DepartmentofProbability＆Statistics,PekingUniversity,Beijing100871,China |
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| 摘 要： | 1.IntroductionLet{X.,n21}beasequenceoflidry'swithanondegeneratedistributionfunctionF(x).Supposethereexistsomeconstantsan>0,b.6RandsomeacERsuchthatwhereG.standsforoneoftheextremevaluedistributions:Heretheindex7ERisarealparameter(interpret(1 box)--'/ryase--"for7~0).Theestimationoftheextreme-valueindex7isveryimportantbothintheextremevaluetheoryandinpractice.Manystatistics,suchasHillestimator(forcaseac>0),PickandsestimatorandDekkers-EinmahLdeHaan'smomentestimatorwhicharebasedonafinitesample,…
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| 关 键 词： | 极值分布 误差估计 浓度 渐进正态性 |
| 收稿时间： | 1996/2/14 0:00:00 |
| 修稿时间： | 1996/11/14 0:00:00 |
ESTIMATING EXTREME-VALUE INDEX FROM RECORDS |
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| Qi Yongcheng.ESTIMATING EXTREME-VALUE INDEX FROM RECORDS[J].Chinese Annals of Mathematics,Series B,1998,19(4):499-510. |
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| Authors: | Qi Yongcheng |
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| Affiliation: | Department of Probability & Statistics, Peking
University, Beijing 100871, China |
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| Abstract: | This paper constructs from the record values an estimator of the extreme-value index. It is proved that the estimator is consistent in the domain of attraction of extremesvalue distributions, and that under very mild conditions the estimator is asymptotically normal. |
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| Keywords: | Record Extreme value distribution Estimator Consistency Asymptotic normality |
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