Estimating the conditional tail expectation in the case of heavy-tailed losses.
Necir, Abdelhakim, Rassoul, Abdelaziz, Zitikis, Ričardas (2010)
Journal of Probability and Statistics
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Necir, Abdelhakim, Rassoul, Abdelaziz, Zitikis, Ričardas (2010)
Journal of Probability and Statistics
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Stéphane Girard, Pierre Jacob (2004)
ESAIM: Probability and Statistics
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We present a method for estimating the edge of a two-dimensional bounded set, given a finite random set of points drawn from the interior. The estimator is based both on a Parzen-Rosenblatt kernel and extreme values of point processes. We give conditions for various kinds of convergence and asymptotic normality. We propose a method of reducing the negative bias and edge effects, illustrated by some simulations.
Petr Volf, Aleš Linka (2001)
Kybernetika
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A system composed from a set of independent and identical parallel units is considered and its resistance (survival) against an increasing load is modelled by a counting process model, in the framework of statistical survival analysis. The objective is to estimate the (nonparametrized) hazard function of the distribution of loads breaking the units of the system (i. e. their breaking strengths), to derive the large sample properties of the estimator, and to propose a goodness-of-fit...
Petr Volf (1988)
Kybernetika
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P. Peruničić, Z. Glišić (1987)
Matematički Vesnik
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Youcef Berkoun, Hocine Fellag (2011)
Applicationes Mathematicae
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Using the Bahadur representation of a sample quantile for m-dependent and strong mixing random variables, we establish the asymptotic distribution of the Hurwicz estimator for the coefficient of autoregression in a linear process with innovations belonging to the domain of attraction of an α-stable law (1 < α < 2). The present paper extends Hurwicz's result to the autoregressive model.