Tail index estimation in the presence of long-memory dynamics

DOI10.1016/j.csda.2011.07.018zbMath1318.62276MaRDI QIDQ425381

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

zbMATH Keywords

heavy tails; long-range dependence; stable distributions; extreme value theory

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G32: Statistics of extreme values; tail inference

Related Items

Detecting influential data points for the Hill estimator in Pareto-type distributions, On the measurement and treatment of extremes in time series, Tail index estimation with a fixed tuning parameter fraction, The tail empirical process for long memory stochastic volatility models with leverage, Modeling of long-range memory processes with inverse cubic distributions by the nonlinear stochastic differential equations

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