重尾指数估计量及其伪估计量的渐近关系  

On Asymptotic Relationship Between Heavy-Tailed Index Estimator and Its Pseudo-Estimator

作　　者：刘洋 彭作祥[1] LIU Yang;PENG Zuoxiang(School of Mathematics and Statistics, Southwest University, Chongqing 400715, China)

机构地区：[1]西南大学数学与统计学院,重庆400715

出　　处：《西南师范大学学报（自然科学版）》2022年第7期70-76,共7页Journal of Southwest China Normal University(Natural Science Edition)

基　　金：国家自然科学基金项目(11701469).

摘　　要：将重尾指数估计量的随机门限替换为非随机门限,得到了伪估计量,然后建立了原始估计量和伪估计量之间的渐近关系.As an important research object of extreme value theory,extreme value index is often used to describe the thick tailed degree of distribution.Therefore,the estimation of extreme value index has attracted the attention of many statisticians,and is widely used in insurance,actuarial,finance and other fields.In this paper,the pseudo-estimator has been obtained by replacing the random threshold of the heavy tailed index estimator with the non-random threshold,and then the asymptotic relationship between the original estimator and the pseudo-estimator been established.

关 键 词：重尾指数量 伪估计量 二阶正规变化函数 

分 类 号：O211.4[理学—概率论与数理统计]