| 正规变化重尾分布尾部指数的Crovella估计的强相合性 |
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| 引用本文： | 陈向红,杨纪龙. 正规变化重尾分布尾部指数的Crovella估计的强相合性[J]. 南京师大学报(自然科学版), 2007, 30(3): 26-30 |
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| 作者姓名： | 陈向红 杨纪龙 |
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| 作者单位： | 南京师范大学数学与计算机科学学院,江苏,南京,210097;南京师范大学数学与计算机科学学院,江苏,南京,210097 |
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| 摘 要： | 正规变化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.本文在阐述了该估计方法的具体步骤后,给出了相应的估计量,并证明了该估计量具有强相合性.
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| 关 键 词： | 正规变化 重尾分布 尾部指数 Crovella 估计 强相合性 |
| 文章编号： | 1001-4616（2007）03-0026-05 |
| 收稿时间： | 2006-11-28 |
| 修稿时间： | 2007-04-10 |
Strong Consistency of Crovella Estimation for the Tail Index of Regular Variation Heavy-Tailed Distribution |
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| Chen Xianghong,Yang Jilong. Strong Consistency of Crovella Estimation for the Tail Index of Regular Variation Heavy-Tailed Distribution[J]. Journal of Nanjing Normal University(Natural Science Edition), 2007, 30(3): 26-30 |
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| Authors: | Chen Xianghong Yang Jilong |
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| Affiliation: | School of Mathematics and Computer Science, Nanjing Normal University, Nanjing 210097,China |
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| Abstract: | The estimation of tail index for regular variation heavy-tailed distributions aroused our concern, many scholars proposed several methods, but all of them have some disadvantages. Crovella presented a new method based on the scaling properties of sums of heavy-tailed randomvariables. It has the advantages of being easy to apply, and of being relatively accurate. In this paper, the estimation presented by Crovella is described, and that the Crovella estimator has strong consistency is proved. |
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| Keywords: | regular variation heavy-tailed distributions tail index Crovella estimation strong consistency |
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