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Asymptotic normality of Hill Estimator for truncated data
heavy tails truncation second order regular variation
2010/12/9
The problem of estimating the tail index from truncated data is addressed in Chakrabarty and Samorodnitsky (2009). In that paper, a sample based (and hence random) choice of k is uggested,and it is sh...
The M-estimate of parameters in the errors-in-variables (EV) model Y =x^τβ_0+∈, X =x+u ((∈,u^τ)^τ is a (p+1)-dimensional spherical error, Coy[(∈, u^τ)^τ] =σ^2I_{p+1})being considered. The M-estimate \...