Tail approximation in models that involve long range dependence: the distribution of overflows

DOI10.5705/SS.2012.100SzbMATH Open1417.60027OpenAlexW2314383233MaRDI QIDQ2864548FDOQ2864548

Authors: B. Yakir 

Publication date: 25 November 2013

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/d62f5de142f14fa8920fb0b615417ccab0dda427

Recommendations

• Tail index estimation in the presence of long-memory dynamics
• Tail dependence from a distributional point of view
• Long range dependence of heavy-tailed random functions
• scientific article; zbMATH DE number 5668410
• A limit theory for long-range dependence and statistical inference on related models
• Asymptotic tail properties of the distributions in the class of dispersion models
• Tail approximations to the density function in EVT
• Long-time tails in a random diffusion model
• Estimating the tail-dependence coefficient: properties and pitfalls

zbMATH Keywords

CUSUMlong-range dependencelikelihood-ratio identitymaxima of a random fieldovershoot correction

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Stationary stochastic processes (60G10)

Cited In (2)

• Long-range dependence and performance in telecom networks
• Tail behavior and dependence structure in the APARCH model

This page was built for publication: Tail approximation in models that involve long range dependence: the distribution of overflows

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2864548)