Consistent estimation of the tail index for dependent data

DOI10.1016/J.SPL.2010.08.009MaRDI QIDQ613172zbMATH OpenOpenAlexFDO

Authors Margarida Brito, Ana Cristina Moreira Freitas

Publication date 20 December 2010

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2010.08.009

zbMATH Keywords

parameter estimationconsistencyorder statisticsmixing conditionstail indices

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Generalized stochastic processes (60G20)

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Cites work

• scientific article; zbMATH DE number 1301726 (Why is no real title available?)
• scientific article; zbMATH DE number 1069355 (Why is no real title available?)
• A moment estimator for the index of an extreme-value distribution
• A new approach on estimation of the tail index
• A simple general approach to inference about the tail of a distribution
• Almost sure convergence of the Hill estimator
• Consistency of Hill's estimator for dependent data
• Limiting behaviour of a geometric-type estimator for tail indices.
• Moment-based tail index estimation
• ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• On tail index estimation using dependent data
• Tail index estimation for dependent data
• The method of moments ratio estimator for the tail shape parameter
• Weak convergence of a bootstrap geometric-type estimator with applications to risk theory
• Weak limiting behaviour of a simple tail Pareto-index estimator

Cited in

(14)

• Simple tail index estimation for dependent and heterogeneous data with missing values
• On tail index estimation using a sample with missing observations
• Local-maximum-based tail index estimator
• Inference on heavy tails from dependent data
• A continuous updating weighted least squares estimator of tail dependence in high dimensions
• Estimation of the tail index in the max-aggregation scheme
• On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
• Interval estimation for a measure of tail dependence
• A consistent estimator for skewness of partial sums of dependent data
• ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
• scientific article; zbMATH DE number 5147265 (Why is no real title available?)
• Bias-corrected geometric-type estimators of the tail index
• Incomplete samples and tail estimation for stationary sequences
• On the measurement and treatment of extremes in time series

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