Tail index estimation in the presence of long-memory dynamics (Q425381): Difference between revisions

@@ Property / author @@
+Tucker S. McElroy
@@ Property / author: Tucker S. McElroy / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.csda.2011.07.018
+Normal rank
@@ Property / OpenAlex ID @@
+W1985649522
@@ Property / OpenAlex ID: W1985649522 / rank @@
+Normal rank
@@ Property / cites work @@
+The detection and estimation of long memory in stochastic volatility
+Normal rank
@@ Property / cites work @@
+Q5525727
@@ Property / cites work: Q5525727 / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theory for moving averages of random variables with regularly varying tail probabilities
+Normal rank
@@ Property / cites work @@
+Limit theory for the sample covariance and correlation functions of moving averages
+Normal rank
@@ Property / cites work @@
+A moment estimator for the index of an extreme-value distribution
+Normal rank
@@ Property / cites work @@
+On the estimation of the extreme-value index and large quantile estimation
+Normal rank
@@ Property / cites work @@
+Optimal rates of convergence for estimates of the extreme value index
+Normal rank
@@ Property / cites work @@
+Selecting the optimal sample fraction in univariate extreme value estimation
+Normal rank
@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
+Normal rank
@@ Property / cites work @@
+Q5688318
@@ Property / cites work: Q5688318 / rank @@
+Normal rank
@@ Property / cites work @@
+On defining long-range dependence
@@ Property / cites work: On defining long-range dependence / rank @@
+Normal rank
@@ Property / cites work @@
+A simple general approach to inference about the tail of a distribution
+Normal rank
@@ Property / cites work @@
+Discrete time parametric models with long memory and infinite variance
+Normal rank
@@ Property / cites work @@
+The tail empirical process for long memory stochastic volatility sequences
+Normal rank
@@ Property / cites work @@
+Long strange segments of a stochastic process.
@@ Property / cites work: Long strange segments of a stochastic process. / rank @@
+Normal rank
@@ Property / cites work @@
+Q5434018
@@ Property / cites work: Q5434018 / rank @@
+Normal rank
@@ Property / cites work @@
+Computer-intensive rate estimation, diverging statistics and scanning
+Normal rank
@@ Property / cites work @@
+A simple robust estimation method for the thickness of heavy tails
+Normal rank
@@ Property / cites work @@
+Statistical inference using extreme order statistics
+Normal rank
@@ Property / cites work @@
+Long strange segments in a long-range-dependent moving average.
+Normal rank
@@ Property / cites work @@
+Log-periodogram regression of time series with long range dependence
+Normal rank
@@ Property / cites work @@
+Gaussian semiparametric estimation of long range dependence
+Normal rank
@@ Property / cites work @@
+Q4301585
@@ Property / cites work: Q4301585 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating Heavy-Tail Exponents Through Max Self–Similarity
+Normal rank
@@ Property / cites work @@
+Asymptotic theory of statistical inference for time series
+Normal rank