| Pickands型推广估计量的渐近正态性 |
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| 引用本文： | 吴松林,严尚安,陶竹莲,李爱玲. Pickands型推广估计量的渐近正态性[J]. 后勤工程学院学报, 2006, 22(1): 80-83 |
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| 作者姓名： | 吴松林 严尚安 陶竹莲 李爱玲 |
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| 作者单位： | 后勤工程学院,基础部,重庆,400016;湖南金融培训学校,长沙,410200 |
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| 摘 要： | 极值指数在许多实际领域广泛应用:如组合投资、风险值的计算、预报地震等, 估计极值指数γ以及它的性质的研究近年来成为极值统计理论的基本问题。主要研究极值指数γ的一个估计量:Pickands型推广估计量的渐近正态性质。首先研究由Pickands型推广估计量构成的一随机过程,得到了该过程的渐近分布;然后利用研究结果证明了Pickands 型推广估计量的渐近正态性,得到其渐近方差;最后对提出的Pickands型推广估计的平滑估计量进行了相应研究。
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| 关 键 词： | Pickands型推广估计量 随机过程 渐近分布 平滑估计量 |
| 文章编号： | 1672-7843(2006)01-0080-04 |
| 修稿时间： | 2005-10-09 |
Asymptotical Normal of the Extended Pickands' Estimators |
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| WU Song-lin,YAN Shang-an,TAO Zhu-lian,LI Ai-ling. Asymptotical Normal of the Extended Pickands' Estimators[J]. Journal of Logistical Engineering University, 2006, 22(1): 80-83 |
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| Authors: | WU Song-lin YAN Shang-an TAO Zhu-lian LI Ai-ling |
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| Abstract: | The Extreme-index's estimators and their properties become a basic problem in recent years, because the Extreme-index is abroad applied in many fields, such as combinatorial investment, risk's account, earthquake' forecast. This article derives asymptotical distribution of a process which is constituted by the extended Pickands' estimators. Asymptotical Normal of the extended Pickands' estimators is proved and the asymptotical variation is derived. In the last, the asymptotical distribution of the smoothing estimator of the extended Pickands' estimators is derived by the study of process before. |
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| Keywords: | extended Pickands' estimatore asymptotical distribution random process smoothing estimator |
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