Determination of change-point of tail index
This article deals with a new estimator for tail index, introduced by proof V. Paulauskas in [1]. Hypothesis of a change-point at beforehand-unknown place is examined. Besides simple theoretical calculations, simulation results are presented, which enable to expect successful practical applications...
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius University Press
2003-12-01
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| Series: | Lietuvos Matematikos Rinkinys |
| Online Access: | https://www.journals.vu.lt/LMR/article/view/32502 |
| _version_ | 1826861948843589632 |
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| author | Kęstutis Gadeikis |
| author_facet | Kęstutis Gadeikis |
| author_sort | Kęstutis Gadeikis |
| collection | DOAJ |
| description |
This article deals with a new estimator for tail index, introduced by proof V. Paulauskas in [1]. Hypothesis of a change-point at beforehand-unknown place is examined. Besides simple theoretical calculations, simulation results are presented, which enable to expect successful practical applications of the estimator.
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| first_indexed | 2024-03-07T15:40:04Z |
| format | Article |
| id | doaj.art-d8326d510a64469d8952fa75fd0c05e6 |
| institution | Directory Open Access Journal |
| issn | 0132-2818 2335-898X |
| language | English |
| last_indexed | 2025-02-16T20:31:03Z |
| publishDate | 2003-12-01 |
| publisher | Vilnius University Press |
| record_format | Article |
| series | Lietuvos Matematikos Rinkinys |
| spelling | doaj.art-d8326d510a64469d8952fa75fd0c05e62025-01-20T18:17:33ZengVilnius University PressLietuvos Matematikos Rinkinys0132-28182335-898X2003-12-0143spec.10.15388/LMR.2003.32502Determination of change-point of tail indexKęstutis Gadeikis0Vilnius University This article deals with a new estimator for tail index, introduced by proof V. Paulauskas in [1]. Hypothesis of a change-point at beforehand-unknown place is examined. Besides simple theoretical calculations, simulation results are presented, which enable to expect successful practical applications of the estimator. https://www.journals.vu.lt/LMR/article/view/32502 |
| spellingShingle | Kęstutis Gadeikis Determination of change-point of tail index Lietuvos Matematikos Rinkinys |
| title | Determination of change-point of tail index |
| title_full | Determination of change-point of tail index |
| title_fullStr | Determination of change-point of tail index |
| title_full_unstemmed | Determination of change-point of tail index |
| title_short | Determination of change-point of tail index |
| title_sort | determination of change point of tail index |
| url | https://www.journals.vu.lt/LMR/article/view/32502 |
| work_keys_str_mv | AT kestutisgadeikis determinationofchangepointoftailindex |