Tail index estimation in the presence of long-memory dynamics

DOI10.1016/J.CSDA.2011.07.018MaRDI QIDQ425381zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

extreme value theoryheavy tailslong-range dependencestable distributions

Mathematics Subject Classification ID

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

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• The tail empirical process for long memory stochastic volatility sequences

Cited in

(11)

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

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