69998

Автор(ы): 

Автор(ов): 

2

Параметры публикации

Тип публикации: 

Статья в журнале/сборнике

Название: 

The estimation of parameters for the tapered Pareto distribution from incomplete data

ISBN/ISSN: 

0363-1672

DOI: 

10.1007/s10986-022-09567-8

Наименование источника: 

  • Lithuanian Mathematical Journal

Город: 

  • Vilnius

Издательство: 

  • Springer

Год издания: 

2022

Страницы: 

https://link.springer.com/article/10.1007/s10986-022-09567-8
Аннотация
In this paper, we consider estimation of unknown parameters of the tapered Pareto distribution, which belongs to the class of semiheavy distributions, by a sample with excluded l_n largest and k_n smallest observations. We establish necessary and sufficient conditions in terms of proportions k_n/n and l_n/n for weak consistency and joint asymptotic normality of parameterizedmoment-type estimators for the shape and form parameters. Additionally, we extend the result on weak consistency of generalized Hill statistics (introduced in [V. Paulauskas and M. Vaiˇciulis, On the improvement of Hill and some others estimators, Lith. Math. J., 53(3):336–355, 2013]) to the case where the extreme value index is not positive. We demonstrate the performance of the proposed estimators on both simulated data from the tapered Pareto distribution and real data from finance.

Библиографическая ссылка: 

Вайсиулюс М.Р., Родионов И.В. The estimation of parameters for the tapered Pareto distribution from incomplete data // Lithuanian Mathematical Journal. 2022. С. https://link.springer.com/article/10.1007/s10986-022-09567-8.