On tail index estimation using dependent data
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Publication:1178953
DOI10.1214/aos/1176348261zbMath0738.62026OpenAlexW1995328092MaRDI QIDQ1178953
Publication date: 26 June 1992
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176348261
order statisticsconsistencyasymptotic normalitymixing conditionHill estimatorstrictly stationarytail index estimationfinite moving average sequenceregular variation indexsame marginal distributionsequence of dependent random variables
Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Point estimation (62F10)
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