Proceeded from trimmed Hill estimators and distributed inference, a new distributed version of trimmed Hill estimator for heavy tail index is proposed. Considering the case where the number of observations involved in...Proceeded from trimmed Hill estimators and distributed inference, a new distributed version of trimmed Hill estimator for heavy tail index is proposed. Considering the case where the number of observations involved in each machine can be either the same or different and either fixed or varying to the total sample size, its consistency and asymptotic normality are discussed. Simulation studies are particularized to show the new estimator performs almost in line with the trimmed Hill estimator.展开更多
文摘Proceeded from trimmed Hill estimators and distributed inference, a new distributed version of trimmed Hill estimator for heavy tail index is proposed. Considering the case where the number of observations involved in each machine can be either the same or different and either fixed or varying to the total sample size, its consistency and asymptotic normality are discussed. Simulation studies are particularized to show the new estimator performs almost in line with the trimmed Hill estimator.
基金The National Natural Science Foundation of China(6087410710771148)the Opening Fund of Geomathematics Key Laboratory of Sichuan Province(scsxdz2011006)
