Publication:4247105
From MaRDI portal
zbMath0954.62107MaRDI QIDQ4247105
Publication date: 18 February 2001
independence; linear programming; weak convergence; consistency; time series; regular variation; heavy tails; plots; autoregressive processes; Poisson processes; Hill estimator; sample correlations; infinite order moving average models
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G32: Statistics of extreme values; tail inference
62A09: Graphical methods in statistics
Related Items
Limit Theorems for Moving Averages with Random Coefficients and Heavy-Tailed Noise, Tail index estimation for dependent data, Parameter estimation for moving averages with positive innovations, How misleading can sample ACFs of stable MAs be? (Very!), Growth rates of sample covariances of stationary symmetric \(\alpha \)-stable processes associated with null recurrent Markov chains, The sample autocorrelations of heavy-tailed processes with applications to ARCH, Long strange segments of a stochastic process., The supremum of a negative drift random walk with dependent heavy-tailed steps., Quotient correlation: a sample based alternative to Pearson's correlation