Related papers: Several new tail index estimators

We compute the tail asymptotics of the product of a beta random variable and a generalized gamma random variable which are independent and have general parameters. A special case of these asymptotics were proved and used in a recent work of…

On one hand, a large class of inequality measures, which includes the generalized entropy, the Atkinson, the Gini, etc., for example, has been introduced in Mergane and Lo (2013). On the other hand, the influence function of statistics is…

Let $Y=\sum_{k\ge 1} 1_{A_k}$ be an infinite sum of the indicators of independent events. We investigate a precise (as opposed to logarithmic) first-order asymptotic behavior of the tail probabilities $\mathbb{P}\{Y\ge n\}$ and the point…

We consider regularly varying random vectors. Our goal is to estimate in a non-parametric way some characteristics related to conditioning on an extreme event, like the tail dependence coefficient. We introduce a quasi-spectral…

A class of estimating functions is introduced for the regression parameter of the Cox proportional hazards model to allow unknown failure statuses on some study subjects. The consistency and asymptotic normality of the resulting estimators…

Due to globalization and relaxed market regulation, we have assisted to an increasing of extremal dependence in international markets. As a consequence, several measures of tail dependence have been stated in literature in recent years,…

A new single-index model that reflects the time-dynamic effects of the single index is proposed for longitudinal and functional response data, possibly measured with errors, for both longitudinal and time-invariant covariates. With…

A new functional-based approach is developed for the stability analysis of linear impulsive systems. The new method, which introduces looped-functionals, considers non-monotonic Lyapunov functions and leads to LMIs conditions devoid of…

The subject of robust estimation in time series is widely discussed in literature. One of the approaches is to use GM-estimation. This method incorporates a broad class of nonparametric estimators which under suitable conditions includes…

Asmussen and Lehtomaa [Distinguishing log-concavity from heavy tails. Risks 5(10), 2017] introduced an interesting function $g$ which is able to distinguish between log-convex and log-concave tail behaviour of distributions, and proposed a…

Estimation mainly for two classes of popular models, single-index and partially linear single-index models, is studied in this paper. Such models feature nonstationarity. Orthogonal series expansion is used to approximate the unknown…

We derive new approximate representations of the Lommel functions in terms of the Scorer function and approximate representations of the first derivative of the Lommel functions in terms of the derivative of the Scorer function. Using the…

A new effective method for factorization of a class of nonrational $n\times n$ matrix-functions with \emph{stable partial indices} is proposed. The method is a generalization of the one recently proposed by the authors which was valid for…

This paper studies the class of logarithmically completely monotonic (LCM) functions. These functions play an important role in characterising externally positive linear systems which find applications in important control problems such as…

We propose novel parameter estimation algorithms for a class of dynamical systems with nonlinear parametrization. The class is initially restricted to smooth monotonic functions with respect to a linear functional of the parameters. We show…

This paper introduces a flexible framework for the estimation of the conditional tail index of heavy tailed distributions. In this framework, the tail index is computed from an auxiliary linear regression model that facilitates estimation…

This paper describes limiting behaviour of tail empirical process associated with long memory stochastic volatility models. We show that such process has dichotomous behaviour, according to an interplay between a Hurst parameter and a tail…

We consider the problem of estimating smooth integrated functionals of a monotone nonincreasing density $f$ on $[0,\infty)$ using the nonparametric maximum likelihood based plug-in estimator. We find the exact asymptotic distribution of…

When predicting scalar responses in the situation where the explanatory variables are functions, it is sometimes the case that some functional variables are related to responses linearly while other variables have more complicated…

Reference [1] established an index theory for a class of linear selfadjoint operator equations covering both second order linear Hamiltonian systems and first order linear Hamiltonian systems as special cases. In this paper based upon this…