Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Bul. Acad. Ştiinţe Repub. Mold. Mat.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2007, Number 1, Pages 3–24 (Mi basm46)  
This article is cited in 3 scientific papers (total in 3 papers)

Pareto approximation of the tail by local exponential modeling

Ion Gramaa, Vladimir Spokoinyb

a Université de Bretagne Sud, Tohannic, Vannes, France
b Weierstrass Institute, Berlin, Germany
Full-text PDF (2302 kB) Citations (3)
References:
PDF
HTML
Abstract: We give a new adaptive method for selecting the number of upper order statistics used in the estimation of the tail of a distribution function. Our approach is based on approximation by an exponential model. The selection procedure consists in consecutive testing for the hypothesis of homogeneity of the estimated parameter against the change-point alternative. The selected number of upper order statistics corresponds to the first detected change-point. Our main results are non-asymptotic.
Keywords and phrases: nonparametric adaptive estimation, extreme values, tail index, Hill estimator, probabilities of rare events.
Received: 12.07.2006
Bibliographic databases:
MSC: Primary 62G32, 62G08; Secondary 62G05
Language: English
Citation: Ion Grama, Vladimir Spokoiny, “Pareto approximation of the tail by local exponential modeling”, Bul. Acad. Ştiinţe Repub. Mold. Mat., 2007, no. 1, 3–24
Citation in format AMSBIB
\Bibitem{GraSpo07}
\by Ion~Grama, Vladimir~Spokoiny
\paper Pareto approximation of the tail by local exponential modeling
\jour Bul. Acad. \c Stiin\c te Repub. Mold. Mat.
\yr 2007
\issue 1
\pages 3--24
\mathnet{http://mi.mathnet.ru/basm46}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2324403}
\zmath{https://zbmath.org/?q=an:1122.62035}
Linking options:
  • https://www.mathnet.ru/eng/basm46
  • https://www.mathnet.ru/eng/basm/y2007/i1/p3
    • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica
    Statistics & downloads:
    Abstract page:561
    Full-text PDF :118
    References:60
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024