Hill's estimator for the tail index of an ARMA model (Q1877836)
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 2092975
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Hill's estimator for the tail index of an ARMA model |
scientific article; zbMATH DE number 2092975 |
Statements
Hill's estimator for the tail index of an ARMA model (English)
0 references
19 August 2004
0 references
ARMA model
0 references
Hill's estimator
0 references
Optimal sample fraction
0 references
Regularly varying
0 references
Tail index
0 references
0 references
0 references
0.8469132781028748
0 references
0.8139120936393738
0 references
0.7857798933982849
0 references
0.7842971682548523
0 references
0.7817143797874451
0 references
