On the estimation of the heavy-tail exponent in time series using the max-spectrum

DOI10.1002/ASMB.764MaRDI QIDQ3103151zbMATH OpenOpenAlexFDO

Authors George Michailidis, Stilian Stoev

Publication date 26 November 2011

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1005.4329, http://hdl.handle.net/2027.42/77436

zbMATH Keywords

heavy-tailed time seriesmoving maximablock-maximaFréchet distributionheavy-tail exponentmax-spectrumMax-stable

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

Abstract: This paper addresses the problem of estimating the tail index of distributions with heavy, Pareto-type tails for dependent data, that is of interest in the areas of finance, insurance, environmental monitoring and teletraffic analysis. A novel approach based on the max self-similarity scaling behavior of block maxima is introduced. The method exploits the increasing lack of dependence of maxima over large size blocks, which proves useful for time series data. We establish the consistency and asymptotic normality of the proposed max-spectrum estimator for a large class of m-dependent time series, in the regime of intermediate block-maxima. In the regime of large block-maxima, we demonstrate the distributional consistency of the estimator for a broad range of time series models including linear processes. The max-spectrum estimator is a robust and computationally efficient tool, which provides a novel time-scale perspective to the estimation of the tail--exponents. Its performance is illustrated over synthetic and real data sets.

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Cited in

(5)

• Local-maximum-based tail index estimator
• LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise
• scientific article; zbMATH DE number 16756 (Why is no real title available?)
• Construction of the tetration distribution based on the continuous iteration of the exponential-minus-one function
• Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models

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