TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS (Q5199499): Difference between revisions

@@ Property / cites work @@
+Extremes and local dependence in stationary sequences
+Normal rank
@@ Property / cites work @@
+On extreme values in stationary sequences
@@ Property / cites work: On extreme values in stationary sequences / rank @@
+Normal rank
@@ Property / cites work @@
+On linear processes with dependent innovations
@@ Property / cites work: On linear processes with dependent innovations / rank @@
+Normal rank
@@ Property / cites work @@
+The asymptotic distribution of the trimmed mean
@@ Property / cites work: The asymptotic distribution of the trimmed mean / rank @@
+Normal rank
@@ Property / cites work @@
+Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case
+Normal rank
@@ Property / cites work @@
+Tail-behavior of location estimators
@@ Property / cites work: Tail-behavior of location estimators / rank @@
+Normal rank
@@ Property / cites work @@
+Q4382161
@@ Property / cites work: Q4382161 / rank @@
+Normal rank
@@ Property / cites work @@
+Some Limit Theorems for Stationary Processes
@@ Property / cites work: Some Limit Theorems for Stationary Processes / rank @@
+Normal rank
@@ Property / cites work @@
+On the exceedance point process for a stationary sequence
+Normal rank
@@ Property / cites work @@
+Extremal index estimation for a weakly dependent stationary sequence
+Normal rank
@@ Property / cites work @@
+On tail index estimation using dependent data
@@ Property / cites work: On tail index estimation using dependent data / rank @@
+Normal rank
@@ Property / cites work @@
+Stationarity of GARCH processes and of some nonnegative time series
+Normal rank
@@ Property / cites work @@
+The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
+Normal rank
@@ Property / cites work @@
+ARMAX model specification testing, with an application to unemployment in the Netherlands
+Normal rank
@@ Property / cites work @@
+Q4365234
@@ Property / cites work: Q4365234 / rank @@
+Normal rank
@@ Property / cites work @@
+Regular variation of GARCH processes.
@@ Property / cites work: Regular variation of GARCH processes. / rank @@
+Normal rank
@@ Property / cites work @@
+A characterization of multivariate regular variation.
+Normal rank
@@ Property / cites work @@
+Fractionally integrated generalized autoregressive conditional heteroskedasticity
+Normal rank
@@ Property / cites work @@
+Extremal memory of stochastic volatility with an application to tail shape inference
+Normal rank
@@ Property / cites work @@
+ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
+Normal rank
@@ Property / cites work @@
+On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
+Normal rank
@@ Property / cites work @@
+Fractional differencing
@@ Property / cites work: Fractional differencing / rank @@
+Normal rank
@@ Property / cites work @@
+A simple general approach to inference about the tail of a distribution
+Normal rank
@@ Property / cites work @@
+Tail Behavior of Regression Estimators and their Breakdown Points
+Normal rank
@@ Property / cites work @@
+Inference in Arch and Garch Models with Heavy-Tailed Errors
+Normal rank
@@ Property / cites work @@
+Asymptotic behavior of self-normalized trimmed sums: Nonnormal limits
+Normal rank
@@ Property / cites work @@
+The asymptotic joint distribution of self-normalized censored sums and sums of squares
+Normal rank
@@ Property / cites work @@
+Asymptotic normality of trimmed sums of \(\Phi\)-mixing random variables
+Normal rank
@@ Property / cites work @@
+On asymptotic normality of Hill's estimator for the exponent of regular variation
+Normal rank
@@ Property / cites work @@
+Non-mixing properties of long memory processes
@@ Property / cites work: Non-mixing properties of long memory processes / rank @@
+Normal rank
@@ Property / cites work @@
+STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL  LIMIT THEOREM
+Normal rank
@@ Property / cites work @@
+Q5624436
@@ Property / cites work: Q5624436 / rank @@
+Normal rank
@@ Property / cites work @@
+A Limit Theoerm for Random Variables with Infinite Moments
+Normal rank
@@ Property / cites work @@
+The extremal index for a Markov chain
@@ Property / cites work: The extremal index for a Markov chain / rank @@
+Normal rank
@@ Property / cites work @@
+On maximum likelihood estimation of the extreme value index.
+Normal rank
@@ Property / cites work @@
+A new weak dependence condition and applications to moment inequalities
+Normal rank
@@ Property / cites work @@
+Non-parametric Estimation of Tail Dependence
@@ Property / cites work: Non-parametric Estimation of Tail Dependence / rank @@
+Normal rank
@@ Property / cites work @@
+On extremal distributions and sharp \(L_p\)-bounds for sums of multilinear forms
+Normal rank
@@ Property / cites work @@
+Weak convergence of the tail empirical process for dependent sequences
+Normal rank
@@ Property / cites work @@
+Extremes of moving averages of stable processes
@@ Property / cites work: Extremes of moving averages of stable processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q3771297
@@ Property / cites work: Q3771297 / rank @@
+Normal rank
@@ Property / cites work @@
+A New Class of Models for Bivariate Joint Tails
@@ Property / cites work: A New Class of Models for Bivariate Joint Tails / rank @@
+Normal rank
@@ Property / cites work @@
+Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
+Normal rank
@@ Property / cites work @@
+Limit theory for bilinear processes with heavy-tailed noise
+Normal rank
@@ Property / cites work @@
+The extremogram: a correlogram for extreme events
@@ Property / cites work: The extremogram: a correlogram for extreme events / rank @@
+Normal rank
@@ Property / cites work @@
+Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts
+Normal rank
@@ Property / cites work @@
+Extremes of Stochastic Volatility Models
@@ Property / cites work: Extremes of Stochastic Volatility Models / rank @@
+Normal rank
@@ Property / cites work @@
+The maximum term of uniformly mixing stationary processes
+Normal rank
@@ Property / cites work @@
+Extreme Value Theory for GARCH Processes
@@ Property / cites work: Extreme Value Theory for GARCH Processes / rank @@
+Normal rank
@@ Property / cites work @@
+WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS
+Normal rank
@@ Property / cites work @@
+The sample autocorrelations of heavy-tailed processes with applications to ARCH
+Normal rank
@@ Property / cites work @@
+Weak dependence beyond mixing and asymptotics for nonparametric regression
+Normal rank
@@ Property / cites work @@
+Almost sure relative stability of the maximum of a stationary sequence
+Normal rank
@@ Property / cites work @@
+Stochastic Limit Theory
@@ Property / cites work: Stochastic Limit Theory / rank @@
+Normal rank
@@ Property / cites work @@
+Large deviations of sums of independent random variables
+Normal rank
@@ Property / cites work @@
+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
+Normal rank
@@ Property / cites work @@
+Stability of nonlinear AR-GARCH models
@@ Property / cites work: Stability of nonlinear AR-GARCH models / rank @@
+Normal rank
@@ Property / cites work @@
+A maximal inequality and dependent strong laws
@@ Property / cites work: A maximal inequality and dependent strong laws / rank @@
+Normal rank
@@ Property / cites work @@
+What portion of the sample makes a partial sum asymptotically stable or normal?
+Normal rank
@@ Property / cites work @@
+Stability and the Lyapounov exponent of threshold AR-ARCH models
+Normal rank
@@ Property / cites work @@
+Regular variation of order 1 nonlinear AR-ARCH models
+Normal rank
@@ Property / cites work @@
+GENERAL TRIMMED ESTIMATION: ROBUST APPROACH TO NONLINEAR AND LIMITED DEPENDENT VARIABLE MODELS
+Normal rank
@@ Property / cites work @@
+Extreme Values in Uniformly Mixing Stationary Stochastic Processes
+Normal rank
@@ Property / cites work @@
+Calculating the extremal index for a class of stationary sequences
+Normal rank
@@ Property / cites work @@
+A limit theorem for the maximum of autoregressive processes with uniform marginal distributions
+Normal rank
@@ Property / cites work @@
+ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
+Normal rank
@@ Property / cites work @@
+MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC  VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
+Normal rank
@@ Property / cites work @@
+Diagnostics for Dependence within Time Series Extremes
+Normal rank
@@ Property / cites work @@
+On central limit theory for random additive functions under weak dependence restrictions
+Normal rank