Tail index estimation in the presence of long-memory dynamics

DOI10.1016/J.CSDA.2011.07.018zbMATH Open1318.62276OpenAlexW1985649522MaRDI QIDQ425381FDOQ425381

Authors: Agnieszka Jach, Tucker S. McElroy 

Publication date: 8 June 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.07.018

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zbMATH Keywords

heavy tailsextreme value theorylong-range dependencestable distributions

Mathematics Subject Classification ID

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

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Cited In (11)

• On robust tail index estimation for linear long-memory processes
• The tail empirical process for long memory stochastic volatility models with leverage
• Tail approximation in models that involve long range dependence: the distribution of overflows
• The tail empirical process for long memory stochastic volatility sequences
• Modeling of long-range memory processes with inverse cubic distributions by the nonlinear stochastic differential equations
• Tail index estimation, concentration and adaptivity
• Detecting influential data points for the Hill estimator in Pareto-type distributions
• On the measurement and treatment of extremes in time series
• Extremal memory of stochastic volatility with an application to tail shape inference
• Power-law cross-correlations estimation under heavy tails
• Tail index estimation with a fixed tuning parameter fraction

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