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

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.