Beamspace super-resolution methods for elevation estimation in multipath environment has attracted significant attention, especially the beamspace maximum likelihood(BML)algorithm. However, the difference beam is rare...Beamspace super-resolution methods for elevation estimation in multipath environment has attracted significant attention, especially the beamspace maximum likelihood(BML)algorithm. However, the difference beam is rarely used in superresolution methods, especially in low elevation estimation. The target airspace information in the difference beam is different from the target airspace information in the sum beam. And the use of difference beams does not significantly increase the complexity of the system and algorithms. Thus, this paper applies the difference beam to the beamformer to improve the elevation estimation performance of BML algorithm. And the direction and number of beams can be adjusted according to the actual needs. The theoretical target elevation angle root means square error(RMSE) and the computational complexity of the proposed algorithms are analyzed. Finally, computer simulations and real data processing results demonstrate the effectiveness of the proposed algorithms.展开更多
To estimate the spreading sequence of the direct sequence spread spectrum (DSSS) signal, a fast algorithm based on maximum likelihood function is proposed, and the theoretical derivation of the algorithm is provided. ...To estimate the spreading sequence of the direct sequence spread spectrum (DSSS) signal, a fast algorithm based on maximum likelihood function is proposed, and the theoretical derivation of the algorithm is provided. By simplifying the objective function of maximum likelihood estimation, the algorithm can realize sequence synchronization and sequence estimation via adaptive iteration and sliding window. Since it avoids the correlation matrix computation, the algorithm significantly reduces the storage requirement and the computation complexity. Simulations show that it is a fast convergent algorithm, and can perform well in low signal to noise ratio (SNR).展开更多
By taking the subsequence out of the input-output sequence of a system polluted by white noise, an independent observation sequence and its probability density are obtained and then a maximum likelihood estimation of ...By taking the subsequence out of the input-output sequence of a system polluted by white noise, an independent observation sequence and its probability density are obtained and then a maximum likelihood estimation of the identification parameters is given. In order to decrease the asymptotic error, a corrector of maximum likelihood (CML) estimation with its recursive algorithm is given. It has been proved that the corrector has smaller asymptotic error than the least square methods. A simulation example shows that the corrector of maximum likelihood estimation is of higher approximating precision to the true parameters than the least square methods.展开更多
Low elevation estimation,which has attracted wide attention due to the presence of specular multipath,is essential for tracking radars.Frequency agility not only has the advantage of strong anti-interference ability,b...Low elevation estimation,which has attracted wide attention due to the presence of specular multipath,is essential for tracking radars.Frequency agility not only has the advantage of strong anti-interference ability,but also can enhance the performance of tracking radars.A frequency-agile refined maximum likelihood(RML)algorithm based on optimal fusion is proposed.The algorithm constructs an optimization problem,which minimizes the mean square error(MSE)of angle estimation.Thereby,the optimal weight at different frequency points is obtained for fusing the angle estimation.Through theoretical analysis and simulation,the frequency-agile RML algorithm based on optimal fusion can improve the accuracy of angle estimation effectively.展开更多
In this paper, an importance sampling maximum likelihood(ISML) estimator for direction-of-arrival(DOA) of incoherently distributed(ID) sources is proposed. Starting from the maximum likelihood estimation description o...In this paper, an importance sampling maximum likelihood(ISML) estimator for direction-of-arrival(DOA) of incoherently distributed(ID) sources is proposed. Starting from the maximum likelihood estimation description of the uniform linear array(ULA), a decoupled concentrated likelihood function(CLF) is presented. A new objective function based on CLF which can obtain a closed-form solution of global maximum is constructed according to Pincus theorem. To obtain the optimal value of the objective function which is a complex high-dimensional integral,we propose an importance sampling approach based on Monte Carlo random calculation. Next, an importance function is derived, which can simplify the problem of generating random vector from a high-dimensional probability density function(PDF) to generate random variable from a one-dimensional PDF. Compared with the existing maximum likelihood(ML) algorithms for DOA estimation of ID sources, the proposed algorithm does not require initial estimates, and its performance is closer to CramerRao lower bound(CRLB). The proposed algorithm performs better than the existing methods when the interval between sources to be estimated is small and in low signal to noise ratio(SNR)scenarios.展开更多
The conformal array can make full use of the aperture,save space,meet the requirements of aerodynamics,and is sensitive to polarization information.It has broad application prospects in military,aerospace,and communic...The conformal array can make full use of the aperture,save space,meet the requirements of aerodynamics,and is sensitive to polarization information.It has broad application prospects in military,aerospace,and communication fields.The joint polarization and direction-of-arrival(DOA)estimation based on the conformal array and the theoretical analysis of its parameter estimation performance are the key factors to promote the engineering application of the conformal array.To solve these problems,this paper establishes the wave field signal model of the conformal array.Then,for the case of a single target,the cost function of the maximum likelihood(ML)estimator is rewritten with Rayleigh quotient from a problem of maximizing the ratio of quadratic forms into those of minimizing quadratic forms.On this basis,rapid parameter estimation is achieved with the idea of manifold separation technology(MST).Compared with the modified variable projection(MVP)algorithm,it reduces the computational complexity and improves the parameter estimation performance.Meanwhile,the MST is used to solve the partial derivative of the steering vector.Then,the theoretical performance of ML,the multiple signal classification(MUSIC)estimator and Cramer-Rao bound(CRB)based on the conformal array are derived respectively,which provides theoretical foundation for the engineering application of the conformal array.Finally,the simulation experiment verifies the effectiveness of the proposed method.展开更多
随着风电渗透率的持续上升,电力系统的惯量水平显著下降,对系统频率稳定性构成了新的挑战。为有效评估风电并网情况下电力系统节点惯量的变化,提出了一种基于受控自回归滑动平均(autoregressive moving average with exogenous variable...随着风电渗透率的持续上升,电力系统的惯量水平显著下降,对系统频率稳定性构成了新的挑战。为有效评估风电并网情况下电力系统节点惯量的变化,提出了一种基于受控自回归滑动平均(autoregressive moving average with exogenous variable,ARMAX)模型的改进最大似然估计(maximum likelihood estimation,MLE)参数辨识方法对系统机组直接相连节点进行惯量评估。首先,构建ARMAX模型对发电机组直接相连节点的动态特性进行建模,并利用改进MLE对模型参数进行辨识,以评估与机组直接相连的节点惯量。然后,基于k-means聚类算法对发电机组节点惯量进行分区,计算得到系统区域惯量和中心频率,并进一步对非发电机组节点频率进行自适应多项式拟合计算,得到其系统节点惯量。最后,搭建IEEE39含风力发电机组节点系统,绘制热力图直观展示电力系统节点和区域的惯量分布,验证了所提改进方法的有效性。该方法有助于精准识别系统中不同节点的动态响应特性,为风电并网系统的分析和规划提供了有力支持。展开更多
Yule-Simon distribution has a wide range of practical applications, such as in networkscience, biology and humanities. A lot of work focuses on the study of how well the empirical datafits Yule-Simon distribution or h...Yule-Simon distribution has a wide range of practical applications, such as in networkscience, biology and humanities. A lot of work focuses on the study of how well the empirical datafits Yule-Simon distribution or how to estimate the parameter. There are still some open problems,such as the error analysis of parameter estimation, the theoretical proof of the convergence of theiterative algorithm for maximum likelihood estimation of parameters. The Yule-Simon distributionis a heavy-tailed distribution and the parameter is usually less than 2, so the variance does notexist. This makes it difficult to give an interval estimation of the parameter. Using the compressiontransformation, this paper proposes a method of interval estimation based on the centrallimit theorem. This method can be applied to many heavy-tailed distributions. The other twoasymptotic confidence intervals of the parameter are obtained based on the maximum likelihoodand the mode method. These estimation methods are compared in simulations and applications toempirical data.展开更多
Based on the stochastic AMR model, this paper constructs man-made earthquake catalogues to investigate the property of parameter estimation of the model. Then the stochastic AMR model is applied to the study of severa...Based on the stochastic AMR model, this paper constructs man-made earthquake catalogues to investigate the property of parameter estimation of the model. Then the stochastic AMR model is applied to the study of several strong earthquakes in China and New Zealand. Akaikes AIC criterion is used to discriminate whether an accelerating mode of earthquake activity precedes those events or not. Finally, regional accelerating seismic activity and possible prediction approach for future strong earthquakes are discussed.展开更多
In the constant-stress accelerated life test, estimation issues are discussed for a generalized half-normal distribution under a log-linear life-stress model. The maximum likelihood estimates with the corresponding fi...In the constant-stress accelerated life test, estimation issues are discussed for a generalized half-normal distribution under a log-linear life-stress model. The maximum likelihood estimates with the corresponding fixed point type iterative algorithm for unknown parameters are presented, and the least square estimates of the parameters are also proposed. Meanwhile, confidence intervals of model parameters are constructed by using the asymptotic theory and bootstrap technique. Numerical illustration is given to investigate the performance of our methods.展开更多
The maximum likelihood （ML） estimator demonstrates remarkable performance in direction of arrival （DOA） estimation for the multiple input multiple output （MIMO） sonar. However, this advantage comes with prohibit...The maximum likelihood （ML） estimator demonstrates remarkable performance in direction of arrival （DOA） estimation for the multiple input multiple output （MIMO） sonar. However, this advantage comes with prohibitive computational complexity. In order to solve this problem, an ant colony optimization （ACO） is incorporated into the MIMO ML DOA estimator. Based on the ACO, a novel MIMO ML DOA estimator named the MIMO ACO ML （ML DOA estimator based on ACO for MIMO sonar） with even lower computational complexity is proposed. By extending the pheromone remaining process to the pheromone Gaussian kernel probability distribution function in the continuous space, the pro- posed algorithm achieves the global optimum value of the MIMO ML DOA estimator. Simulations and experimental results show that the computational cost of MIMO ACO ML is only 1/6 of the MIMO ML algorithm, while maintaining similar performance with the MIMO ML method.展开更多
In the signal processing for metrewave radar, the reflection paths of target echoes can cause severe error in the elevation estimation for the low-angle target tracking. The exact angles of the reflection paths are un...In the signal processing for metrewave radar, the reflection paths of target echoes can cause severe error in the elevation estimation for the low-angle target tracking. The exact angles of the reflection paths are unknown beforehand, and therefore, the reflection paths can not be suppressed easily. Therefore, in this article, an improved reflection paths suppression approach is presented. A block matrix aggregate is constructed based on the possible angles of the reflection paths. Combined with the beamforming-like processing, a generalized maximum likelihood estimation is derived to optimize the estimation. Moreover, the noise reduction method based on the Toeplitz covariance matrix is used for better performance. This approach is applied to the real data collected by the low-angle tracking radar with 8-channel vertical array. The experiment results show that the reflection effects are reduced and the accuracy of the elevation estimate is improved.展开更多
In this paper a method of aerodynamic parameter identification of vehicle, the maximum likelihood method, is introduced. The aerodynamic model of vehicle is identified and the basic equations using maximum likelihood ...In this paper a method of aerodynamic parameter identification of vehicle, the maximum likelihood method, is introduced. The aerodynamic model of vehicle is identified and the basic equations using maximum likelihood method are established. After that, the simulation data is identified to verify the correctness of the mathematic model and identification method. Last, the practical flight data is identified and analyzed.展开更多
A novel estimation algorithm is introduced to handle the popular undersea problem called torpedo tracking with angle-only measurements with a better approach compared to the existing filters. The new algorithm produce...A novel estimation algorithm is introduced to handle the popular undersea problem called torpedo tracking with angle-only measurements with a better approach compared to the existing filters. The new algorithm produces a better estimate from the outputs produced by the traditional nonlinear approaches with the assistance of simple noise minimizers like maximum likelihood filter or any other algorithm which belongs to their family. The introduced method is extended to the higher version in two ways. The first approach extracts a better estimate and covariance by enhancing the count of the intermediate filters, while the second approach accepts more inputs so as to attain improved performance without enhancement of the intermediate filter count. The ideal choice of the placement of towed array sensors to improve the performance of the proposed method further is suggested as the one where the line of sight and the towed array are perpendicular. The results could get even better by moving the ownship in the direction of reducing range. All the results are verified in the MATLAB environment.展开更多
A new fast and accurate method for estimating the frequency of a complex sinusoid in complex white Gaussian environments is proposed. The new estimator comprises of applications of low-pass filtering, decimation, and ...A new fast and accurate method for estimating the frequency of a complex sinusoid in complex white Gaussian environments is proposed. The new estimator comprises of applications of low-pass filtering, decimation, and frequency estimation by linear prediction. It is computationally efficient yet obtains the Crazner-Rao bound at moderate signal-to-noise ratios. And it is well suited for real time applications requiring precise frequency estimation. Simulation results are included to demonstrate the performance of the proposed method.展开更多
This paper investigates methods of value-at-risk (VaR) estimation using extreme value theory (EVT). It compares two different estimation methods, 'two-step subsample bootstrap' based on moment estimation and m...This paper investigates methods of value-at-risk (VaR) estimation using extreme value theory (EVT). It compares two different estimation methods, 'two-step subsample bootstrap' based on moment estimation and maximum likelihood estimation (MLE), according to their theoretical bases and computation procedures. Then, the estimation results are analyzed together with those of normal method and empirical method. The empirical research of foreign exchange data shows that the EVT methods have good characters in estimating VaR under extreme conditions and 'two-step subsample bootstrap' method is preferable to MLE.展开更多
基金supported by the Fund for Foreign Scholars in University Research and Teaching Programs (B18039)。
文摘Beamspace super-resolution methods for elevation estimation in multipath environment has attracted significant attention, especially the beamspace maximum likelihood(BML)algorithm. However, the difference beam is rarely used in superresolution methods, especially in low elevation estimation. The target airspace information in the difference beam is different from the target airspace information in the sum beam. And the use of difference beams does not significantly increase the complexity of the system and algorithms. Thus, this paper applies the difference beam to the beamformer to improve the elevation estimation performance of BML algorithm. And the direction and number of beams can be adjusted according to the actual needs. The theoretical target elevation angle root means square error(RMSE) and the computational complexity of the proposed algorithms are analyzed. Finally, computer simulations and real data processing results demonstrate the effectiveness of the proposed algorithms.
基金supported by Joint Foundation of and China Academy of Engineering Physical (10676006)
文摘To estimate the spreading sequence of the direct sequence spread spectrum (DSSS) signal, a fast algorithm based on maximum likelihood function is proposed, and the theoretical derivation of the algorithm is provided. By simplifying the objective function of maximum likelihood estimation, the algorithm can realize sequence synchronization and sequence estimation via adaptive iteration and sliding window. Since it avoids the correlation matrix computation, the algorithm significantly reduces the storage requirement and the computation complexity. Simulations show that it is a fast convergent algorithm, and can perform well in low signal to noise ratio (SNR).
文摘By taking the subsequence out of the input-output sequence of a system polluted by white noise, an independent observation sequence and its probability density are obtained and then a maximum likelihood estimation of the identification parameters is given. In order to decrease the asymptotic error, a corrector of maximum likelihood (CML) estimation with its recursive algorithm is given. It has been proved that the corrector has smaller asymptotic error than the least square methods. A simulation example shows that the corrector of maximum likelihood estimation is of higher approximating precision to the true parameters than the least square methods.
基金supported by the Fund for Foreign Scholars in University Research and Teaching Programs(the 111 Project)(B18039).
文摘Low elevation estimation,which has attracted wide attention due to the presence of specular multipath,is essential for tracking radars.Frequency agility not only has the advantage of strong anti-interference ability,but also can enhance the performance of tracking radars.A frequency-agile refined maximum likelihood(RML)algorithm based on optimal fusion is proposed.The algorithm constructs an optimization problem,which minimizes the mean square error(MSE)of angle estimation.Thereby,the optimal weight at different frequency points is obtained for fusing the angle estimation.Through theoretical analysis and simulation,the frequency-agile RML algorithm based on optimal fusion can improve the accuracy of angle estimation effectively.
基金supported by the basic research program of Natural Science in Shannxi province of China (2021JQ-369)。
文摘In this paper, an importance sampling maximum likelihood(ISML) estimator for direction-of-arrival(DOA) of incoherently distributed(ID) sources is proposed. Starting from the maximum likelihood estimation description of the uniform linear array(ULA), a decoupled concentrated likelihood function(CLF) is presented. A new objective function based on CLF which can obtain a closed-form solution of global maximum is constructed according to Pincus theorem. To obtain the optimal value of the objective function which is a complex high-dimensional integral,we propose an importance sampling approach based on Monte Carlo random calculation. Next, an importance function is derived, which can simplify the problem of generating random vector from a high-dimensional probability density function(PDF) to generate random variable from a one-dimensional PDF. Compared with the existing maximum likelihood(ML) algorithms for DOA estimation of ID sources, the proposed algorithm does not require initial estimates, and its performance is closer to CramerRao lower bound(CRLB). The proposed algorithm performs better than the existing methods when the interval between sources to be estimated is small and in low signal to noise ratio(SNR)scenarios.
基金the National Natural Science Foundation of China(62071144,61971159,61871149).
文摘The conformal array can make full use of the aperture,save space,meet the requirements of aerodynamics,and is sensitive to polarization information.It has broad application prospects in military,aerospace,and communication fields.The joint polarization and direction-of-arrival(DOA)estimation based on the conformal array and the theoretical analysis of its parameter estimation performance are the key factors to promote the engineering application of the conformal array.To solve these problems,this paper establishes the wave field signal model of the conformal array.Then,for the case of a single target,the cost function of the maximum likelihood(ML)estimator is rewritten with Rayleigh quotient from a problem of maximizing the ratio of quadratic forms into those of minimizing quadratic forms.On this basis,rapid parameter estimation is achieved with the idea of manifold separation technology(MST).Compared with the modified variable projection(MVP)algorithm,it reduces the computational complexity and improves the parameter estimation performance.Meanwhile,the MST is used to solve the partial derivative of the steering vector.Then,the theoretical performance of ML,the multiple signal classification(MUSIC)estimator and Cramer-Rao bound(CRB)based on the conformal array are derived respectively,which provides theoretical foundation for the engineering application of the conformal array.Finally,the simulation experiment verifies the effectiveness of the proposed method.
文摘随着风电渗透率的持续上升,电力系统的惯量水平显著下降,对系统频率稳定性构成了新的挑战。为有效评估风电并网情况下电力系统节点惯量的变化,提出了一种基于受控自回归滑动平均(autoregressive moving average with exogenous variable,ARMAX)模型的改进最大似然估计(maximum likelihood estimation,MLE)参数辨识方法对系统机组直接相连节点进行惯量评估。首先,构建ARMAX模型对发电机组直接相连节点的动态特性进行建模,并利用改进MLE对模型参数进行辨识,以评估与机组直接相连的节点惯量。然后,基于k-means聚类算法对发电机组节点惯量进行分区,计算得到系统区域惯量和中心频率,并进一步对非发电机组节点频率进行自适应多项式拟合计算,得到其系统节点惯量。最后,搭建IEEE39含风力发电机组节点系统,绘制热力图直观展示电力系统节点和区域的惯量分布,验证了所提改进方法的有效性。该方法有助于精准识别系统中不同节点的动态响应特性,为风电并网系统的分析和规划提供了有力支持。
基金supported by the National Natural Science Foundation of China(Grant No.11961035)Jiangxi Provincial Natural Science Foundation(Grant No.20224BCD41001).
文摘Yule-Simon distribution has a wide range of practical applications, such as in networkscience, biology and humanities. A lot of work focuses on the study of how well the empirical datafits Yule-Simon distribution or how to estimate the parameter. There are still some open problems,such as the error analysis of parameter estimation, the theoretical proof of the convergence of theiterative algorithm for maximum likelihood estimation of parameters. The Yule-Simon distributionis a heavy-tailed distribution and the parameter is usually less than 2, so the variance does notexist. This makes it difficult to give an interval estimation of the parameter. Using the compressiontransformation, this paper proposes a method of interval estimation based on the centrallimit theorem. This method can be applied to many heavy-tailed distributions. The other twoasymptotic confidence intervals of the parameter are obtained based on the maximum likelihoodand the mode method. These estimation methods are compared in simulations and applications toempirical data.
基金National Natural Science Foundation of China (4007401340134010)Chinese Joint Seismological Science Foundation (042002) and the project during the Tenth Five-year Plan.
文摘Based on the stochastic AMR model, this paper constructs man-made earthquake catalogues to investigate the property of parameter estimation of the model. Then the stochastic AMR model is applied to the study of several strong earthquakes in China and New Zealand. Akaikes AIC criterion is used to discriminate whether an accelerating mode of earthquake activity precedes those events or not. Finally, regional accelerating seismic activity and possible prediction approach for future strong earthquakes are discussed.
基金supported by the National Natural Science Foundation of China(1150143371473187)the Natural Science Basic Research Plan in Shaanxi Province of China(2016JQ1014)
文摘In the constant-stress accelerated life test, estimation issues are discussed for a generalized half-normal distribution under a log-linear life-stress model. The maximum likelihood estimates with the corresponding fixed point type iterative algorithm for unknown parameters are presented, and the least square estimates of the parameters are also proposed. Meanwhile, confidence intervals of model parameters are constructed by using the asymptotic theory and bootstrap technique. Numerical illustration is given to investigate the performance of our methods.
基金supported by the National Natural Science Foundation of China (60972152)the National Laboratory Foundation of China (9140C2304080607)+1 种基金the Aviation Science Fund (2009ZC53031)the Doctoral Foundation of Northwestern Polytechnical University (CX201002)
文摘The maximum likelihood （ML） estimator demonstrates remarkable performance in direction of arrival （DOA） estimation for the multiple input multiple output （MIMO） sonar. However, this advantage comes with prohibitive computational complexity. In order to solve this problem, an ant colony optimization （ACO） is incorporated into the MIMO ML DOA estimator. Based on the ACO, a novel MIMO ML DOA estimator named the MIMO ACO ML （ML DOA estimator based on ACO for MIMO sonar） with even lower computational complexity is proposed. By extending the pheromone remaining process to the pheromone Gaussian kernel probability distribution function in the continuous space, the pro- posed algorithm achieves the global optimum value of the MIMO ML DOA estimator. Simulations and experimental results show that the computational cost of MIMO ACO ML is only 1/6 of the MIMO ML algorithm, while maintaining similar performance with the MIMO ML method.
文摘In the signal processing for metrewave radar, the reflection paths of target echoes can cause severe error in the elevation estimation for the low-angle target tracking. The exact angles of the reflection paths are unknown beforehand, and therefore, the reflection paths can not be suppressed easily. Therefore, in this article, an improved reflection paths suppression approach is presented. A block matrix aggregate is constructed based on the possible angles of the reflection paths. Combined with the beamforming-like processing, a generalized maximum likelihood estimation is derived to optimize the estimation. Moreover, the noise reduction method based on the Toeplitz covariance matrix is used for better performance. This approach is applied to the real data collected by the low-angle tracking radar with 8-channel vertical array. The experiment results show that the reflection effects are reduced and the accuracy of the elevation estimate is improved.
文摘In this paper a method of aerodynamic parameter identification of vehicle, the maximum likelihood method, is introduced. The aerodynamic model of vehicle is identified and the basic equations using maximum likelihood method are established. After that, the simulation data is identified to verify the correctness of the mathematic model and identification method. Last, the practical flight data is identified and analyzed.
文摘A novel estimation algorithm is introduced to handle the popular undersea problem called torpedo tracking with angle-only measurements with a better approach compared to the existing filters. The new algorithm produces a better estimate from the outputs produced by the traditional nonlinear approaches with the assistance of simple noise minimizers like maximum likelihood filter or any other algorithm which belongs to their family. The introduced method is extended to the higher version in two ways. The first approach extracts a better estimate and covariance by enhancing the count of the intermediate filters, while the second approach accepts more inputs so as to attain improved performance without enhancement of the intermediate filter count. The ideal choice of the placement of towed array sensors to improve the performance of the proposed method further is suggested as the one where the line of sight and the towed array are perpendicular. The results could get even better by moving the ownship in the direction of reducing range. All the results are verified in the MATLAB environment.
文摘A new fast and accurate method for estimating the frequency of a complex sinusoid in complex white Gaussian environments is proposed. The new estimator comprises of applications of low-pass filtering, decimation, and frequency estimation by linear prediction. It is computationally efficient yet obtains the Crazner-Rao bound at moderate signal-to-noise ratios. And it is well suited for real time applications requiring precise frequency estimation. Simulation results are included to demonstrate the performance of the proposed method.
基金the National Natural Science Foundation of China (No. 79970041).
文摘This paper investigates methods of value-at-risk (VaR) estimation using extreme value theory (EVT). It compares two different estimation methods, 'two-step subsample bootstrap' based on moment estimation and maximum likelihood estimation (MLE), according to their theoretical bases and computation procedures. Then, the estimation results are analyzed together with those of normal method and empirical method. The empirical research of foreign exchange data shows that the EVT methods have good characters in estimating VaR under extreme conditions and 'two-step subsample bootstrap' method is preferable to MLE.
