一个伽马尾统计量及其渐近性

IF 1.4 3区数学 Q2 STATISTICS & PROBABILITY

Statistica Neerlandica Pub Date : 2023-06-13 DOI:10.1111/stan.12316

Toshiya Iwashita, B. Klar

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引用次数: 0

摘要

Asmussen和Lehtomaa[从重尾中区分对数凹度]。Risks 5(10)， 2017]引入了一个有趣的函数g，它能够区分分布的log -凸和log -凹尾行为，并提出了g的随机估计量。在本文中，我们表明g也可以被视为检测gamma分布或具有gamma尾的分布的工具。我们基于U统计构造了一个更有效的估计量ĝn，提出了ĝn的(渐近)方差的几个估计量，并通过仿真研究了它们的性能。最后，将该方法应用于多个日降水数据集。这篇文章受版权保护。版权所有。

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A gamma tail statistic and its asymptotics

Asmussen and Lehtomaa [Distinguishing log‐concavity from heavy tails. Risks 5(10), 2017] introduced an interesting function g which is able to distinguish between log‐convex and log‐concave tail behaviour of distributions, and proposed a randomized estimator for g. In this paper, we show that g can also be seen as a tool to detect gamma distributions or distributions with gamma tail. We construct a more efficient estimator ĝn based on U‐statistics, propose several estimators of the (asymptotic) variance of ĝn, and study their performance by simulations. Finally, the methods are applied to several data sets of daily precipitation.This article is protected by copyright. All rights reserved.

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来源期刊

Statistica Neerlandica 数学-统计学与概率论

CiteScore

2.60

自引率

6.70%

发文量

审稿时长

>12 weeks

期刊介绍： Statistica Neerlandica has been the journal of the Netherlands Society for Statistics and Operations Research since 1946. It covers all areas of statistics, from theoretical to applied, with a special emphasis on mathematical statistics, statistics for the behavioural sciences and biostatistics. This wide scope is reflected by the expertise of the journal’s editors representing these areas. The diverse editorial board is committed to a fast and fair reviewing process, and will judge submissions on quality, correctness, relevance and originality. Statistica Neerlandica encourages transparency and reproducibility, and offers online resources to make data, code, simulation results and other additional materials publicly available.