ON THE USE OF THE EMPIRICAL DISTRIBUTION AND CHARACTERISTIC FUNCTION TO ESTIMATE PARAMETERS OF REGULAR VARIATION

A. H. Welsh

doi:10.1111/j.1467-842X.1986.tb00596.x

ON THE USE OF THE EMPIRICAL DISTRIBUTION AND CHARACTERISTIC FUNCTION TO ESTIMATE PARAMETERS OF REGULAR VARIATION

A. H. Welsh^*

^*Corresponding author for this work

The Australian National University

Research output: Contribution to journal › Article › peer-review

5 Citations (Scopus)

Abstract

In this paper we present two new classes of estimators of parameters of regular variation, one based on the empirical distribution function and the other on the empirical characteristic function. They achieve the same rates of mean square error convergence as the estimators proposed by Hall (1982). The estimator based on the empirical characteristic function, unlike the other estimators, utilises the whole sample and not just a few extreme order statistics.

Original language	English
Pages (from-to)	173-181
Number of pages	9
Journal	Australian Journal of Statistics
Volume	28
Issue number	2
DOIs	https://doi.org/10.1111/j.1467-842X.1986.tb00596.x
Publication status	Published - Jun 1986

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10.1111/j.1467-842X.1986.tb00596.x

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ON THE USE OF THE EMPIRICAL DISTRIBUTION AND CHARACTERISTIC FUNCTION TO ESTIMATE PARAMETERS OF REGULAR VARIATION

Abstract

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