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| Ultima descărcare din IBN: 2022-11-02 23:56 |
 SM ISO690:2012GRAMA, Ion, SPOKOINY, Vladimir. Pareto approximation of the tail by local exponential modeling. In: Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2007, nr. 1(53), pp. 3-24. ISSN 1024-7696. |
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| Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica | ||||||
| Numărul 1(53) / 2007 / ISSN 1024-7696 /ISSNe 2587-4322 | ||||||
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| Pag. 3-24 | ||||||
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| Rezumat | ||||||
We give a new adaptive method for selecting the number of upper order
statistics used in the estimation of the tail of a distribution function. Our approach
is based on approximation by an exponential model. The selection procedure consists
in consecutive testing for the hypothesis of homogeneity of the estimated parameter
against the change-point alternative. The selected number of upper order statistics
corresponds to the first detected change-point. Our main results are non-asymptotic. |
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| Cuvinte-cheie nonparametric adaptive estimation, tail index, Hill estimator, probabilities of rare events ., extreme values |
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