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Second Indicator |
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| LEADER |
00000cam a2200000Ii 4500 |
| 001 |
in00001482921 |
| 005 |
20191026063207.0 |
| 008 |
990503e198905 txua bt s000 0 eng d |
| 035 |
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|a (OCoLC)ocm41289686
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| 035 |
|
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|9 AJG4062AM
|
| 040 |
|
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|a TXA
|b eng
|e rda
|c TXA
|d OCLCQ
|d OCLCF
|d OCLCO
|d UMI
|d TXA
|
| 035 |
|
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|a (OCoLC)41289686
|
| 090 |
|
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|a QA276.A12
|b T4 no.55
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| 049 |
|
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|a TXAM
|
| 100 |
1 |
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|a Grimshaw, Scott D.,
|d 1962-
|e author.
|
| 245 |
1 |
2 |
|a A unified approach to estimating tail behavior /
|c Scott D. Grimshaw.
|
| 264 |
|
1 |
|a College Station, Texas :
|b Department of Statistics, Texas A & M University,
|c 1989.
|
| 300 |
|
|
|a 107 pages :
|b illustrations ;
|c 28 cm
|
| 336 |
|
|
|a text
|b txt
|2 rdacontent
|
| 337 |
|
|
|a unmediated
|b n
|2 rdamedia
|
| 338 |
|
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|a volume
|b nc
|2 rdacarrier
|
| 490 |
1 |
|
|a Technical report ;
|v no. 55
|
| 500 |
|
|
|a "May 1989."
|
| 500 |
|
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|a "Texas A & M Research Foundation, Project No. 5641."
|
| 504 |
|
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|a Includes bibliographical references (pages 81-84).
|
| 513 |
|
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|a Technical report.
|
| 520 |
3 |
|
|a Tail estimators are proposed which make minimal assumptions and let the data dictate the form of the probability model. These estimators use only the observations in the tail and are based on a unifying density-quantile model. The fundamental result in this work is a representation of the quantile function of the exceedences over a threshold. This representation (1) motivates a unified parameterization for tail estimators of the underlying probability model; (2) motivates methods for obtaining parameter estimates; and (3) simplifies the derivation of the asymptotic properties of the proposed parameter estimates. Parameter estimates may be obtained using a Generalized Pareto Distribution or a Generalized Extreme Value Distribution model of the exceedences. Assuming the underlying distribution can be correctly classified as either short tailed or long tailed, other estimates are formed. The asymptotic properties of these estimates are derived under rate of convergence conditions to show the effect of threshold selection on parameter properties. The parameters are shown to be nonidentifiable and their estimators contain a bias which may approach zero very slowly. Therefore, if the parameters are the focus of the analysis, extremely large sample sizes are required to reduce the bias to a negligible amount. If the tail estimates are of interest, the bias is less likely to be serious and the nonidentifiability problem provides a closer approximation to the tail for small samples.
|
| 536 |
|
|
|a Sponsored by the U.S. Army Research Office
|b DAAL03-87-K-0003
|
| 650 |
|
0 |
|a Extreme value theory.
|
| 650 |
|
0 |
|a Estimation theory
|x Asymptotic theory.
|
| 650 |
|
0 |
|a Parameter estimation.
|
| 650 |
|
0 |
|a Convergence.
|
| 650 |
|
0 |
|a Regression analysis.
|
| 650 |
|
0 |
|a Mathematical statistics.
|
| 650 |
|
7 |
|a Statistics
|x Nonparametric inference
|x Statistics of extreme values; tail inference.
|2 msc
|
| 650 |
|
7 |
|a Regression analysis.
|2 fast
|0 (OCoLC)fst01432090
|
| 650 |
|
7 |
|a Statistics.
|2 fast
|0 (OCoLC)fst01132103
|
| 653 |
|
0 |
|a Quantile data analysis
|
| 653 |
|
0 |
|a Extreme value distributions
|
| 653 |
|
0 |
|a Pareto distributions
|
| 653 |
|
0 |
|a Tail estimation
|
| 653 |
|
0 |
|a Exceedances over threshold
|
| 710 |
2 |
|
|a Texas A & M University.
|b Department of Statistics,
|e issuing body.
|
| 710 |
1 |
|
|a United States.
|b Army Research Office,
|e sponsoring body.
|
| 710 |
2 |
|
|a Texas A & M Research Foundation.
|
| 775 |
0 |
8 |
|i Revision of:
|a Grimshaw, Scott D., 1962-
|t Unified approach to estimating tail behavior.
|d 1989
|w (OCoLC)20940934
|
| 830 |
|
0 |
|a Technical report (Texas A & M University. Department of Statistics) ;
|v no. 55.
|
| 948 |
|
|
|a cataloged
|b h
|c 2018/04/06
|d o
|e zdobbs
|f 4:25:19 pm
|
| 948 |
|
|
|a o:br
|
| 994 |
|
|
|a C0
|b TXA
|
| 999 |
f |
f |
|s 88bce063-bae6-3178-ad08-962a310cbb6d
|i 24b6461b-addd-3e9b-b028-b8019690d9f1
|t 0
|
| 952 |
f |
f |
|p noncirc
|a Texas A&M University
|b College Station
|c Cushing Memorial Library & Archives
|d Cushing: Texas A&M Publications (Remote Storage: 2-3 day retrieval)
|t 0
|e QA276.A12 T4 no.55
|h Library of Congress classification
|i unmediated -- volume
|
| 998 |
f |
f |
|a QA276.A12 T4 no.55
|t 0
|l Cushing: Texas A&M Publications (Remote Storage: 2-3 day retrieval)
|