An adaptive optimal estimate of the tail index for MA(1) time series

DOI10.1016/S0167-7152(99)00099-1MaRDI QIDQ1970810zbMATH OpenOpenAlexFDO

Authors J. L. Geluk, Liang Peng

Publication date 27 August 2000

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(99)00099-1

zbMATH Keywords

regular variationtail index

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A moment estimator for the index of an extreme-value distribution
• A simple general approach to inference about the tail of a distribution
• Comparison of tail index estimators
• Consistency of Hill's estimator for dependent data
• Estimating the index of a stable distribution
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
• Inference for the tail parameters of a linear process with heavy tail innovations
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• On tail index estimation using dependent data
• On the distribution of tail array sums for strongly mixing stationary sequences
• Optimal choice of sample fraction in extreme-value estimation
• Second-order regular variation, convolution and the central limit theorem
• Selecting the optimal sample fraction in univariate extreme value estimation
• Statistical inference using extreme order statistics
• Tail index estimation for dependent data
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Using a bootstrap method to choose the sample fraction in tail index estimation
• Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems

Cited in

(5)

• Some aspects of extreme value statistics under serial dependence
• Hill's estimator for the tail index of an ARMA model
• Estimation for heavy tailed moving average process.
• Second-order properties of tail probabilities of sums and randomly weighted sums
• On the estimation of a changepoint in a tail index

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