منابع مشابه
A Multivariate Hill Estimator
We propose a simple and semi-parametric estimator for the tail index of a regular varying elliptical random vector. Since, for univariate random variables, our estimator boils down to the Hill estimator and it inherits the simplicity and asymptotic properties, we name it after Bruce M. Hill. The estimator is based on the distance between an elliptical probability contour and the outer – or exce...
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Let fX n g be a sequence of i.i.d. random variables whose common cdf F belongs to the domain of attraction of an extreme value distribution. A frequently used estimator of the extreme value parameter is the moment estimator (Dekkers, Einmahl and de Haan, 1989). Because the moment estimator is a function of k = k(n), the number of upper order statistics used in estimation and which is only subje...
متن کاملAsymptotic normality of Hill Estimator for truncated data
The problem of estimating the tail index from truncated data is addressed in ?. In that paper, a sample based (and hence random) choice of k is suggested, and it is shown that the choice leads to a consistent estimator of the inverse of the tail index. In this paper, the second order behavior of the Hill estimator with that choice of k is studied, under some additional assumptions. In the untru...
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The determination of the precise moment in which speech begins or ends is an important problem in ASR. As showed in [1], small separations from the optimum beginning and ending point, imply a great decrease in the recognition accuracy. The presence of noise [2] [3], specially when its level is high (around 95 dB as in the case of this work), and its characteristics are highly nonstationary, is ...
متن کاملInference about the Tail of a Distribution: Improvementon the Hill Estimator
The Hill estimator is often used to infer the power behavior in tails of experimental distribution functions. This estimator is known to produce bad results in certain situations which have lead to the so-called Hill horror plots. In this brief note, we propose an improved estimator which is simple and coherent and often provides an efficient remedy in the bad situations, especially when the di...
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ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 1997
ISSN: 0001-8678,1475-6064
DOI: 10.1017/s0001867800027889