Inference on heavy tails from dependent data

MaRDI QIDQ1876387zbMATH OpenFDO

Authors S. Yu. Novak

Publication date 6 September 2004

Published in Siberian Advances in Mathematics (Search for Journal in Brave)

zbMATH Keywords

dependenceextreme quantileheavy tailtail indexValue-at-Risk

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Review text

The author deals with problems of tail index and extreme quantile estimation from a sample of dependent random variables. Consistency and asymptotic normality of the corresponding estimators are established under mild mixing conditions. The accuracy of estimation is shown to be of the same order as if the data were independent. An approach to bias reduction is proposed as well as a procedure for practical estimation.

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Cited in

(20)

• Some aspects of extreme value statistics under serial dependence
• Weak convergence of the tail empirical process for dependent sequences
• On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
• On tail index estimation using dependent data
• A simple robust estimation method for the thickness of heavy tails
• Inference for heavy tailed distributions
• Statistical inference in regression with heavy-tailed integrated variables
• Truncated estimation of ratio statistics with application to heavy tail distributions
• On Gebelein's correlation coefficient
• Weighted approximations of tail processes for \(\beta\)-mixing random variables.
• Quantile Estimation in Dependent Sequences
• Asymptotic properties of the partition function and applications in tail index inference of heavy-tailed data
• Detection of Dependent Heavy-Tailed Signals
• A practical method for analysing heavy tailed data
• Consistent estimation of the tail index for dependent data
• Inference of high quantiles of a heavy-tailed distribution from block data
• Inference for extremal regression with dependent heavy-tailed data
• Extremal properties of evolving networks: local dependence and heavy tails
• Sequential monitoring of the tail behavior of dependent data
• Evaluating currency risk in emerging markets

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