Estimating L-functionals for heavy-tailed distributions and application (Q609711): Difference between revisions
From MaRDI portal
Created a new Item |
Created claim: Wikidata QID (P12): Q58652676, #quickstatements; #temporary_batch_1704771653347 |
||
Property / Wikidata QID | |||
Property / Wikidata QID: Q58652676 / rank | |||
Normal rank |
Revision as of 05:41, 9 January 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Estimating L-functionals for heavy-tailed distributions and application |
scientific article |
Statements
Estimating L-functionals for heavy-tailed distributions and application (English)
0 references
1 December 2010
0 references
Summary: \(L\)-functionals summarize numerous statistical parameters and actuarial risk measures. Their sample estimators are linear combinations of order statistics (\(L\)-statistics). There exists a class of heavy-tailed distributions for which the asymptotic normality of these estimators cannot be obtained by classical results. We propose, by means of extreme value theory, alternative estimators for \(L\)-functionals and establish their asymptotic normality. Our results may be applied to estimate the trimmed \(L\)-moments and financial risk measures for heavy-tailed distributions.
0 references