On robust tail index estimation for linear long-memory processes
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Cites work
- A simple general approach to inference about the tail of a distribution
- Almost sure convergence of the Hill estimator
- Approximation Theorems of Mathematical Statistics
- Asymptotic normality of least-squares estimators of tail indices
- Asymptotics of empirical processes of long memory moving averages with infinite variance.
- Best attainable rates of convergence for estimates of parameters of regular variation
- Bootstrap methods: another look at the jackknife
- Central limit theorem for the empirical process of a linear sequence with long memory
- Central limit theorems for sums of extreme values
- Comparison of tail index estimators
- Consistency of Hill's estimator for dependent data
- Convergence of integrated processes of arbitrary Hermite rank
- Empirical process of long-range dependent sequences when parameters are estimated
- Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models
- Estimation of the self-similarity parameter in linear fractional stable motion.
- Fractional ARIMA with stable innovations
- Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
- Heavy-Tail Phenomena
- scientific article; zbMATH DE number 3835015 (Why is no real title available?)
- scientific article; zbMATH DE number 3824949 (Why is no real title available?)
- scientific article; zbMATH DE number 3954047 (Why is no real title available?)
- scientific article; zbMATH DE number 1239649 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- Kernel estimates of the tail index of a distribution
- Laws of large numbers for sums of extreme values
- Long-range dependence and Appell rank
- Non-central limit theorems for non-linear functional of Gaussian fields
- On asymptotic normality of Hill's estimator for the exponent of regular variation
- On asymptotic normality of the hill estimator
- On linear models with long memory and heavy-tailed errors
- On robust tail index estimation
- On tail index estimation using dependent data
- On the asymptotic expansion of the empirical process of long-memory moving averages
- On the distribution of tail array sums for strongly mixing stationary sequences
- On the estimation of the extreme-value index and large quantile estimation
- On the moving block bootstrap under long range dependence
- Optimal rates of convergence for estimates of the extreme value index
- Parameter estimation for infinite variance fractional ARIMA
- Properties of a block bootstrap under long-range dependence
- Reduction principles for quantile and Bahadur-Kiefer processes of long-range dependent linear sequences
- Resampling methods for dependent data
- Robust Statistics
- Semiparametric lower bounds for tail index estimation
- Stable limits of sums of bounded functions of long memory moving averages with finite variance
- Tail estimates motivated by extreme value theory
- Tail index estimation for dependent data
- The empirical process of some long-range dependent sequences with an application to U-statistics
- The tail empirical process for long memory stochastic volatility sequences
- Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
- VALIDITY OF THE SAMPLING WINDOW METHOD FOR LONG-RANGE DEPENDENT LINEAR PROCESSES
- Weak convergence to fractional brownian motion and to the rosenblatt process
- Weighted approximations of tail processes for \(\beta\)-mixing random variables.
- Zones of attraction of self-similar multiple integrals
Cited in
(10)- Inference for the tail parameters of a linear process with heavy tail innovations
- On 1/f noise
- Whittle parameter estimation for vector ARMA models with heavy-tailed noises
- Tail index estimation in the presence of long-memory dynamics
- Long range dependence for stable random processes
- Estimating long memory in panel random-coefficient AR(1) data
- The tail empirical process for long memory stochastic volatility sequences
- Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models
- Modified Greenwood statistic and its application for statistical testing
- A tail index estimation for long memory processes
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