1. A method for estimating the power of moments.
- Author
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Chang, Shuhua, Li, Deli, Qi, Yongcheng, and Rosalsky, Andrew
- Subjects
- *
DISTRIBUTION (Probability theory) , *RANDOM variables , *FIX-point estimation , *MOMENTS method (Statistics) , *GRAPH theory - Abstract
Let
X be an observable random variable with unknown distribution function F(x)=P(X≤x), −∞ , and let θ=sup{r≥0:E|X|r<∞}. We call
θ the power of moments of the random variableX . Let X1,X2,…,Xnbe a random sample of size n drawn from F(⋅). In this paper we propose the following simple point estimator of θ and investigate its asymptotic properties: θˆn=lognlogmax1≤k≤n|Xk|,where logx=ln(e∨x)
, −∞ . In particular, we show that θˆn→Pθif and only iflimx→∞xrP(|X|>x)=∞∀r>θ. This means that, under very reasonable conditions on F(⋅)
, θˆn is actually a consistent estimator of θ . [ABSTRACT FROM AUTHOR]- Published
- 2018
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