On robust tail index estimation for linear long-memory processes (Q2931590): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Q3040207 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semiparametric lower bounds for tail index estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4865042 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On robust tail index estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Reduction principles for quantile and Bahadur-Kiefer processes of long-range dependent linear sequences / rank
 
Normal rank
Property / cites work
 
Property / cites work: Kernel estimates of the tail index of a distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: Central limit theorems for sums of extreme values / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic normality of least-squares estimators of tail indices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tail estimates motivated by extreme value theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Almost sure convergence of the Hill estimator / rank
 
Normal rank
Property / cites work
 
Property / cites work: The empirical process of some long-range dependent sequences with an application to U-statistics / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the estimation of the extreme-value index and large quantile estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal rates of convergence for estimates of the extreme value index / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weighted approximations of tail processes for \(\beta\)-mixing random variables. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non-central limit theorems for non-linear functional of Gaussian fields / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bootstrap methods: another look at the jackknife / rank
 
Normal rank
Property / cites work
 
Property / cites work: Central limit theorem for the empirical process of a linear sequence with long memory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Comparison of tail index estimators / rank
 
Normal rank
Property / cites work
 
Property / cites work: On asymptotic normality of the hill estimator / rank
 
Normal rank
Property / cites work
 
Property / cites work: On asymptotic normality of Hill's estimator for the exponent of regular variation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3670359 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4225474 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Best attainable rates of convergence for estimates of parameters of regular variation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3723487 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A simple general approach to inference about the tail of a distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: On tail index estimation using dependent data / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the asymptotic expansion of the empirical process of long-memory moving averages / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust Statistics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Properties of a block bootstrap under long-range dependence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractional ARIMA with stable innovations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Parameter estimation for infinite variance fractional ARIMA / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotics of empirical processes of long memory moving averages with infinite variance. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Empirical process of long-range dependent sequences when parameters are estimated / rank
 
Normal rank
Property / cites work
 
Property / cites work: The tail empirical process for long memory stochastic volatility sequences / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the moving block bootstrap under long range dependence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Resampling methods for dependent data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Laws of large numbers for sums of extreme values / rank
 
Normal rank
Property / cites work
 
Property / cites work: VALIDITY OF THE SAMPLING WINDOW METHOD FOR LONG-RANGE DEPENDENT LINEAR PROCESSES / rank
 
Normal rank
Property / cites work
 
Property / cites work: Heavy tail modeling and teletraffic data. (With discussions and rejoinder) / rank
 
Normal rank
Property / cites work
 
Property / cites work: Heavy-Tail Phenomena / rank
 
Normal rank
Property / cites work
 
Property / cites work: Consistency of Hill's estimator for dependent data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tail index estimation for dependent data / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the distribution of tail array sums for strongly mixing stationary sequences / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximation Theorems of Mathematical Statistics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of the self-similarity parameter in linear fractional stable motion. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Zones of attraction of self-similar multiple integrals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Long-range dependence and Appell rank / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stable limits of sums of bounded functions of long memory moving averages with finite variance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weak convergence to fractional brownian motion and to the rosenblatt process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence of integrated processes of arbitrary Hermite rank / rank
 
Normal rank
Property / cites work
 
Property / cites work: On linear models with long memory and heavy-tailed errors / rank
 
Normal rank

Latest revision as of 08:14, 9 July 2024

scientific article
Language Label Description Also known as
English
On robust tail index estimation for linear long-memory processes
scientific article

    Statements

    On robust tail index estimation for linear long-memory processes (English)
    0 references
    0 references
    0 references
    0 references
    26 November 2014
    0 references
    long memory
    0 references
    infinite variance
    0 references
    tail index
    0 references
    \(M\)-estimation
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references