Estimating L-Functionals for Heavy-Tailed Distributions and Application
Joint Authors
Meraghni, Djamel
Necir, Abdelhakim
Source
Journal of Probability and Statistics
Issue
Vol. 2010, Issue 2010 (31 Dec. 2010), pp.1-34, 34 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2010-03-23
Country of Publication
Egypt
No. of Pages
34
Main Subjects
Abstract EN
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.
In this paper 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.
American Psychological Association (APA)
Necir, Abdelhakim& Meraghni, Djamel. 2010. Estimating L-Functionals for Heavy-Tailed Distributions and Application. Journal of Probability and Statistics،Vol. 2010, no. 2010, pp.1-34.
https://search.emarefa.net/detail/BIM-492150
Modern Language Association (MLA)
Necir, Abdelhakim& Meraghni, Djamel. Estimating L-Functionals for Heavy-Tailed Distributions and Application. Journal of Probability and Statistics No. 2010 (2010), pp.1-34.
https://search.emarefa.net/detail/BIM-492150
American Medical Association (AMA)
Necir, Abdelhakim& Meraghni, Djamel. Estimating L-Functionals for Heavy-Tailed Distributions and Application. Journal of Probability and Statistics. 2010. Vol. 2010, no. 2010, pp.1-34.
https://search.emarefa.net/detail/BIM-492150
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-492150