Inference on heavy tails from dependent data (Q1876387)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 2097080
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Inference on heavy tails from dependent data |
scientific article; zbMATH DE number 2097080 |
Statements
Inference on heavy tails from dependent data (English)
0 references
6 September 2004
0 references
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.
0 references
tail index
0 references
extreme quantile
0 references
heavy tail
0 references
dependence
0 references
Value-at-Risk
0 references
0.8847072124481201
0 references
0.8664311170578003
0 references
0.8641050457954407
0 references
0.8240970373153687
0 references
0.8180297613143921
0 references
