The Pickands' Estimator of the Negative Extreme-value Index

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The Pickands' Estimator of the Negative Extreme-value Index

PENG Zuoxiang¹, S Nadarajah²

¹Mathematics Department, Southwest Normal University, Chongqing, 400715; ²Department of Statistics, University of California, Riverside, USA

Received:2000-01-21 Online:2001-01-20 Published:2001-01-20

负极值指标的Pickands估计

彭作祥¹, S Nadarajah²

¹西南师范大学数学系，重庆市，400715; ²Department of Statistics, University of California, Riverside, USA

Abstract

Abstract: It is proposed that a new estimator of the extreme-value index (when it is negative) that is similar in form to the Pickands' estimator. Its consistency and asymptotic distribution is established.

Key words: asymptotic distribution, consistency, extreme-value index

摘要： 提出一类极值指数为负时的相似于Pickand's型的新的极值指数估计量，并建立它的相合性及渐近分布。

关键词: 渐近分布, 相合性, 极值指数

CLC Number:

O211.4

PENG Zuoxiang,S Nadarajah. The Pickands' Estimator of the Negative Extreme-value Index[J]. Acta Scientiarum Naturalium Universitatis Pekinensis.

彭作祥, S Nadarajah. 负极值指标的Pickands估计[J]. 北京大学学报（自然科学版）.

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The Pickands' Estimator of the Negative Extreme-value Index

负极值指标的Pickands估计

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