OCENJIVANJE INDEKSA REPA RASPODELE KORIŠĆENJEM NEKOMPLETNIH UZORAKA

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OCENJIVANJE INDEKSA REPA RASPODELE KORIŠĆENJEM NEKOMPLETNIH UZORAKA

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dc.contributor.advisor Mladenović, Pavle
dc.contributor.author Ilić, D. Ivana
dc.date.accessioned 2013-02-28T09:21:18Z
dc.date.available 2013-02-28T09:21:18Z
dc.date.issued 2013
dc.identifier.uri http://hdl.handle.net/123456789/2485
dc.description.abstract For the sequence of heavy-tailed and possibly dependent random variables with the missing observations the estimation of the tail-index is considered. Under minimal but verifiable assumption of ''extremal dependence'' we proved the consistency of geometric-type estimator (Brito and Freitas, 2003). We extended results from Mladenovic and Piterbarg (2008) and proved the consistency and the asymptotic normality of the Hill estimator. Illustrative examples are provided. en_US
dc.description.provenance Submitted by Slavisha Milisavljevic (slavisha) on 2013-02-28T09:21:18Z No. of bitstreams: 1 Elektronska verzija.pdf: 3250408 bytes, checksum: 512a1104cc462a3aaa66c837feef6ade (MD5) en
dc.description.provenance Made available in DSpace on 2013-02-28T09:21:18Z (GMT). No. of bitstreams: 1 Elektronska verzija.pdf: 3250408 bytes, checksum: 512a1104cc462a3aaa66c837feef6ade (MD5) Previous issue date: 2013 en
dc.language.iso sr en_US
dc.publisher Belgrade en_US
dc.title OCENJIVANJE INDEKSA REPA RASPODELE KORIŠĆENJEM NEKOMPLETNIH UZORAKA en_US
mf.subject.area Mathematics en_US
mf.subject.keywords Hill estimator, incomplete samples, tail index, geometric-type estimator, extremal en_US
mf.subject.subarea Probability and Statistics en_US
mf.contributor.committee Janković, Slobodanka
mf.contributor.committee Petrović, Ljiljana
mf.university.faculty Mathematical en_US
mf.document.references 93 en_US
mf.document.pages 81 en_US
mf.document.location Belgrade en_US
mf.document.genealogy-project No en_US
mf.university Belgrade en_US

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