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On threshold selection problem for estimation of extremal indexстатья
- Автор: Rodionov I.
- Сборник: Proceedings of the international scientific conference 'THE 5th INTERNATIONAL CONFERENCE ON STOСHASTIC METHODS (ICSM-5)'
- Год издания: 2020
- Место издания: Типография РУДН Москва
- Первая страница: 173
- Последняя страница: 180
- Аннотация: We study the properties of the new threshold selection method for non-parametric estimation of the extremal index of a stationary sequence proposed in [1]. The method is to apply the so-called discrepancy method based on the Cramer-von Mises-Smirnov's statistic calculated by the largest order statistics of a sample. The limit distribution of this statistic is derived if the proportion of the largest order statistics used tends to some nonzero constant. We also use the non-standard modification of the Cramer-von Mises-Smirnov's statistic to propose the goodness-of-fit test procedure of omega-squared type for distribution tails.
- Добавил в систему: Родионов Игорь Владимирович