Semi-parametric regression estimation of the tail index

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

application of semi-parametric single-index two-part regression and parametric two-part regression in estimation of the cost of functional gastrointestinal disorders

normal 0 false false false en-us x-none fa microsoftinternetexplorer4 aim : for the purpose of cost modeling, the semi-parametric single-index two-part model was utilized in the paper. furthermore, as functional gastrointestinal diseases which are well-known as common causes of illness among the society people in terms of both the number of patients and prevalence in a specific time interval, t...

متن کامل

Semi-parametric estimation of the strategic goods (OPEC oil price)

In the global economy, crude oil is among the most important strategic goods that affects the performance of local and international markets. Prediction of the oil price has always been an important challenging topic in the global economy and producers and consumers have constantly been trying to improve their roll in the oil price changes and for many years OPEC has been one of the key players...

متن کامل

Tail Index Estimation for Parametric Families Using Log Moments

For heavy-tailed econometric data it is of interest to estimate the tail index, a parameter that measures the thickness of the tails of the marginal distribution. Common models for such distributions include Pareto and t distributions, and in other applications (such as hydrology) stable distributions are popular as well. This paper constructs square root n consistent estimators of the tail ind...

متن کامل

Semi-parametric single-index two-part regression models

In this paper, we proposed a semi-parametric single-index two-part regression model to weaken assumptions in parametric regression methods that were frequently used in the analysis of skewed data with additional zero values. The estimation procedure for the parameters of interest in the model was easily implemented. The proposed estimators were shown to be consistent and asymptotically normal. ...

متن کامل

Semi-parametric difference-based estimation of partial linear regression models

This article describes the plreg Stata command, which implements the difference-based algorithm for estimating the partial linear regression models.

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Electronic Journal of Statistics

سال: 2018

ISSN: 1935-7524

DOI: 10.1214/18-ejs1394