ON THE USE OF THE EMPIRICAL DISTRIBUTION AND CHARACTERISTIC FUNCTION TO ESTIMATE PARAMETERS OF REGULAR VARIATION

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dc.contributor.authorWelsh, A. H.en
dc.date.accessioned2025-06-17T12:32:59Z
dc.date.available2025-06-17T12:32:59Z
dc.date.issued1986en
dc.description.abstractIn this paper we present two new classes of estimators of parameters of regular variation, one based on the empirical distribution function and the other on the empirical characteristic function. They achieve the same rates of mean square error convergence as the estimators proposed by Hall (1982). The estimator based on the empirical characteristic function, unlike the other estimators, utilises the whole sample and not just a few extreme order statistics.en
dc.description.statusPeer-revieweden
dc.format.extent9en
dc.identifier.issn0004-9581en
dc.identifier.scopus84985527671en
dc.identifier.urihttp://www.scopus.com/inward/record.url?scp=84985527671&partnerID=8YFLogxKen
dc.identifier.urihttps://hdl.handle.net/1885/733764104
dc.language.isoenen
dc.sourceAustralian Journal of Statisticsen
dc.titleON THE USE OF THE EMPIRICAL DISTRIBUTION AND CHARACTERISTIC FUNCTION TO ESTIMATE PARAMETERS OF REGULAR VARIATIONen
dc.typeJournal articleen
dspace.entity.typePublicationen
local.bibliographicCitation.lastpage181en
local.bibliographicCitation.startpage173en
local.contributor.affiliationWelsh, A. H.; Research School of Finance, Actuarial Studies and Statistics, Research School of Finance, Actuarial Studies & Statistics, ANU College of Business & Economics, The Australian National Universityen
local.identifier.citationvolume28en
local.identifier.doi10.1111/j.1467-842X.1986.tb00596.xen
local.identifier.pure34d4ac08-dc38-4675-9701-61b95f7dd634en
local.identifier.urlhttps://www.scopus.com/pages/publications/84985527671en
local.type.statusPublisheden

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