Optimal parameter estimation of Pareto type model
The general Pareto type model with unknown tail index is considered. The optimality criterion uses a risk function that includes a weighted mean square accuracy of tail index estimate and the sample size. The problem is to find the optimal sample size to minimize this criterion. It is proposed th...
| Published in: | Международная научная конференция "Робастная статистика и финансовая математика - 2018" (09-11 июля 2018 г.) : сборник статей С. 48-53 |
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| Main Author: | |
| Other Authors: | , |
| Format: | Book Chapter |
| Language: | English |
| Subjects: | |
| Online Access: | http://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000649669 Перейти в каталог НБ ТГУ |