重尾分布尾部指数的Crovella估计性质研究

Study on Property of Crovella Estimation of Heavy Tailed Distribution Index

重尾分布的尾部指数的估计方法有很多种,但都不同程度地存在一定的局限性,为此,Crovella提出了一种从标度特征方面来估计尾部指数的方法,该方法易于应用,估计结果也比较准确.在阐述了该估计方法的具体步骤后,给出了相应的估计量,并从理论上对该估计量的相合性进行了分析,证明该估计量具有强相合性.

Since many estimation methods of tail index for heavy tailed distribution turned out to have limitations, Crovella proposed a new method with which tail index can be estimated in terms of scaling properties. The new method proved to be of easy application with more accurate estimated results. The detailed steps of this method were discussed in this paper, together with corresponding estimations. The consistency property of the estimations was then analyzed and proved to be strong.