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|Title:||Estimating Functionals for Heavy-Tailed Distributions and Application|
|Abstract:||𝐿-functionals summarize numerous statistical parameters and actuarial risk measures. Their sample estimators are linear combinations of order statistics (𝐿-statistics). There exists a class of heavy-tailed distributions for which the asymptotic normality of these estimators cannot be obtained by classical results. In this paper we propose, by means of extreme value theory, alternative estimators for 𝐿-functionals and establish their asymptotic normality. Our results may be applied to estimate the trimmed 𝐿-moments and financial risk measures for heavy-tailed distributions. Link http://www.hindawi.com/journals/jps/2010/707146/abs/|
|Appears in Collections:||Publications Internationales|
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