Consistency of Hill's estimator for dependent data
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Publication:4833724
DOI10.2307/3214926zbMath0836.60020MaRDI QIDQ4833724
Sidney I. Resnick, Cătălin Stărică
Publication date: 23 May 1995
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://hdl.handle.net/1813/8950
time series; heavy tails; autoregressive process; tail empirical process; infinite-order moving average process
60F05: Central limit and other weak theorems
62F10: Point estimation
62G30: Order statistics; empirical distribution functions
60G10: Stationary stochastic processes
60G35: Signal detection and filtering (aspects of stochastic processes)
62E17: Approximations to statistical distributions (nonasymptotic)
60G57: Random measures
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