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 @@
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@@ Property / author @@
+Tucker S. McElroy
@@ Property / author: Tucker S. McElroy / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.csda.2011.07.018
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@@ Property / OpenAlex ID @@
+W1985649522
@@ Property / OpenAlex ID: W1985649522 / rank @@
+Normal rank
@@ Property / cites work @@
+The detection and estimation of long memory in stochastic volatility
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+Q5525727
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@@ Property / cites work @@
+Limit theory for moving averages of random variables with regularly varying tail probabilities
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+Limit theory for the sample covariance and correlation functions of moving averages
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+A moment estimator for the index of an extreme-value distribution
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+On the estimation of the extreme-value index and large quantile estimation
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+Selecting the optimal sample fraction in univariate extreme value estimation
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+On defining long-range dependence
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+A simple general approach to inference about the tail of a distribution
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+Estimating Heavy-Tail Exponents Through Max Self–Similarity
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