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Author
Stachura Michał (Jan Kochanowski University in Kielce), Wodecka Barbara (Uniwersytet Jana Kochanowskiego w Kielcach)
Title
k-th Record Estimator of the Scale Parameter of the α-stable Distribution
Source
Statistics in Transition, 2022, vol. 23, nr 4, s. 203-215, tab., wykr., bibliogr. 25 poz.
Keyword
Estymatory, Estymacja, Metoda Monte Carlo
Estimators, Estimation, Monte Carlo method
Note
summ.
Abstract
Various techniques of scale parameter estimation have been proposed in the case of alpha stable distributions. In the paper, the authors present an estimation technique that involves the k-th record theory. Although this theory is over 40 years old, its implementation in the classical extreme value theory - being the other cornerstone of the presented approach - is quite new, and tempting. Several theoretical properties of the introduced scale parameter estimators are presented. With the use of Monte Carlo methods, a comparative analysis is performed between the approach based on k-th records and approaches based on Hill's and Pickands' estimators. Additionally, the paper uses a real-life data set to illustrate how to effectively apply the k-th record estimator of the scale parameter. The research indicates several advantages of the k-th record approach over its other counterparts, especially when dealing with incomplete information about the underlying sample. (original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
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Bibliography
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ISSN
1234-7655
Language
eng
URI / DOI
http://dx.doi.org/10.2478/stattrans-2022-0050
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