Tail index estimation in the presence of long-memory dynamics

DOI10.1016/j.csda.2011.07.018zbMath1318.62276OpenAlexW1985649522MaRDI QIDQ425381

Agnieszka Jach, Tucker S. McElroy

Publication date: 8 June 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.07.018

zbMATH Keywords

heavy tailslong-range dependencestable distributionsextreme value theory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

Related Items (5)

Tail index estimation with a fixed tuning parameter fraction ⋮ Modeling of long-range memory processes with inverse cubic distributions by the nonlinear stochastic differential equations ⋮ On the measurement and treatment of extremes in time series ⋮ Detecting influential data points for the Hill estimator in Pareto-type distributions ⋮ The tail empirical process for long memory stochastic volatility models with leverage

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The tail empirical process for long memory stochastic volatility sequences
• On the estimation of the extreme-value index and large quantile estimation
• A moment estimator for the index of an extreme-value distribution
• Limit theory for moving averages of random variables with regularly varying tail probabilities
• Limit theory for the sample covariance and correlation functions of moving averages
• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• A simple robust estimation method for the thickness of heavy tails
• The detection and estimation of long memory in stochastic volatility
• Asymptotic theory of statistical inference for time series
• Discrete time parametric models with long memory and infinite variance
• Selecting the optimal sample fraction in univariate extreme value estimation
• Optimal rates of convergence for estimates of the extreme value index
• Long strange segments of a stochastic process.
• Long strange segments in a long-range-dependent moving average.
• Log-periodogram regression of time series with long range dependence
• Gaussian semiparametric estimation of long range dependence
• Computer-intensive rate estimation, diverging statistics and scanning
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• On defining long-range dependence
• Estimating Heavy-Tail Exponents Through Max Self–Similarity

This page was built for publication: Tail index estimation in the presence of long-memory dynamics