北京大学学报(自然科学版)

负极值指标的Pickands估计

彭作祥1, S Nadarajah2   

  1. 1西南师范大学数学系,重庆市,400715; 2Department of Statistics, University of California, Riverside, USA
  • 收稿日期:2000-01-21 出版日期:2001-01-20 发布日期:2001-01-20

The Pickands' Estimator of the Negative Extreme-value Index

PENG Zuoxiang1, S Nadarajah2   

  1. 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

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

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

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