MA(1)时序的三足标尾指数估计量
A Three-Index Estimator of the Tail Index for MA(1) Time Series
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摘要: 给出了有限移动平均时间序列尾指数的一类三足标的Pickands型估计量,证明了其弱相合性和渐近正态性,并在均方误差最小的情况下,给出了参数k1的优选.Abstract: In this paper, we propose a three-index estimator of the tail index for finite moving average time series,and prove the weak convergence and asymptotic normality. Furthermore, a subsampling procedure is given, which estimates the optimal sample fraction in the sense of minimal mean squared error.
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