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High-Frequency Tail Index Estimation by Nearly Tight Frames
High-Frequency Tail Index Estimation Nearly Tight Frames
2013/4/27
This work develops the asymptotic properties (weak consistency and Gaussianity), in the high-frequency limit, of approximate maximum likelihood estimators for the spectral parameters of Gaussian and i...
The estimation of the extreme-value index γ based on a sample of independent and
identically distributed random variables has received considerable attention in the
extreme-value literature. However...