Estimation for heavy tailed moving average process.

DOI10.14736/KYB-2018-2-0351MaRDI QIDQ4568272zbMATH OpenOpenAlexFDO

Authors Hakim Ouadjed, Tawfiq Fawzi Mami

Publication date 15 June 2018

Published in Kybernetika (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10338.dmlcz/147199

zbMATH Keywords

extreme value theorymixing processestail index estimation

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Recommendations

• scientific article; zbMATH DE number 6751368
• On some estimates based on sample behavior near high level excursions
• An adaptive optimal estimate of the tail index for MA(1) time series
• Estimation for non-negative time series with heavy-tail innovations
• scientific article; zbMATH DE number 6603212

Cites work

• A simple general approach to inference about the tail of a distribution
• A simple robust estimation method for the thickness of heavy tails
• Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
• Adaptive estimates of parameters of regular variation
• Confidence intervals for the tail index
• Extreme quantile estimation for dependent data, with applications to finance
• Extremes and related properties of random sequences and processes
• scientific article; zbMATH DE number 1639862 (Why is no real title available?)
• scientific article; zbMATH DE number 6603212 (Why is no real title available?)
• scientific article; zbMATH DE number 597912 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 6751368 (Why is no real title available?)
• Inference for Clusters of Extreme Values
• Likelihood estimation of the extremal index
• On blocks and runs estimators of the extremal index
• Parameter estimation for moving averages with positive innovations
• Regression-Type Estimation of the Parameters of Stable Laws
• Reiss and Thomas' automatic selection of the number of extremes
• Simple consistent estimators of stable distribution parameters
• Time series: Theory and methods
• Weak properties and robustness of t-Hill estimators
• Weighted approximations of tail processes for \(\beta\)-mixing random variables.

Cited in

(6)

• Inference for the tail parameters of a linear process with heavy tail innovations
• On some estimates based on sample behavior near high level excursions
• An adaptive optimal estimate of the tail index for MA(1) time series
• Large sample theory for statistics of stable moving averages
• scientific article; zbMATH DE number 6310973 (Why is no real title available?)
• Multidimensional parameter estimation of heavy-tailed moving averages

This page was built for publication: Estimation for heavy tailed moving average process.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4568272)