应用数学2021，Vol.34Issue(3)：515-524,10.
一类新的极值指数估计
A New Class of Estimators for Extreme Value Index
摘要
Abstract
In this paper, a new class of extreme value index (EVI) estimators as a generation of the Hill estimator is proposed. Under the first-order condition and second-order condition, we prove that the introduced estimators are consistent and asymptotically normal. Although new EVI-estimators and Lp EVI-estimators have the same asymptotic behaviour, the form of new EVI-estimators is simple. And the performance of new EVI-estimators is slightly better than that of Lp EVI-estimators at the same level in the finite samples. Meanwhile, we compare new EVI-estimators with moment estimator and mixed-moment estimator in the optimal level by means of Monte-Carlo simulation. It is concluded that new EVI-estimators have a better competitiveness.关键词
重尾/极值指数估计/二阶条件/渐近正态性Key words
Heavy-tailed/EVI-estimator/Second-order condition/Asymptotic normality分类
数理科学引用本文复制引用
常帅..一类新的极值指数估计[J].应用数学,2021,34(3):515-524,10.基金项目
Supported by the Natural Science Foundation of China(11401424),the Natural Science Foundation of Shanxi Province(201801D121022),the Natural Science Foundation for Young Sci-entists of Shanxi Province(201901D211423)and the Taiyuan Normal University Undergraduate Training Program for Innovation and Entrepreneurship(CXCY2078) （11401424）
