Consistency of Hill's estimator for dependent data
From MaRDI portal
Publication:4833724
DOI10.2307/3214926zbMath0836.60020OpenAlexW2036571875MaRDI 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 seriesheavy tailsautoregressive processtail empirical processinfinite-order moving average process
Central limit and other weak theorems (60F05) Point estimation (62F10) Order statistics; empirical distribution functions (62G30) Stationary stochastic processes (60G10) Signal detection and filtering (aspects of stochastic processes) (60G35) Approximations to statistical distributions (nonasymptotic) (62E17) Random measures (60G57)
Related Items (53)
Long strange segments of a stochastic process. ⋮ The Extremal Dependence Measure and Asymptotic Independence ⋮ Hill's estimator for the tail index of an ARMA model ⋮ On consistency of the likelihood moment estimators for a linear process with regularly varying innovations ⋮ Parameter estimation for moving averages with positive innovations ⋮ Periodic moving averages of random variables with regularly varying tails ⋮ On the foundations of multivariate heavy-tail analysis ⋮ Weak properties and robustness of t-Hill estimators ⋮ ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE ⋮ On robust tail index estimation for linear long-memory processes ⋮ Test for tail index change in stationary time series with Pareto-type marginal distribution ⋮ Extremal memory of stochastic volatility with an application to tail shape inference ⋮ A new random field on lattices ⋮ Consistent estimation of the tail index for dependent data ⋮ Extremal behavior of pMAX processes ⋮ Consistency of Hill estimators in a linear preferential attachment model ⋮ On linear models with long memory and heavy-tailed errors ⋮ Extreme values statistics for Markov chains via the (pseudo-) regenerative method ⋮ Consistency of the Hill Estimator for Time Series Observed with Measurement Errors ⋮ Semi-parametric regression estimation of the tail index ⋮ Tail and quantile estimation for real-valued \(\beta\)-mixing spatial data ⋮ Asymptotic properties of the tail distribution and Hill's estimator for shot noise sequence ⋮ Tail inference: where does the tail begin? ⋮ Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data ⋮ Subsampling the distribution of diverging statistics with applications to finance ⋮ Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors ⋮ Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization ⋮ Detecting a conditional extreme value model ⋮ Hill estimator of projections of functional data on principal components ⋮ An adaptive optimal estimate of the tail index for MA(1) time series ⋮ Volatility regressions with fat tails ⋮ Gumbel and Fréchet convergence of the maxima of independent random walks ⋮ Test for the existence of finite moments via bootstrap ⋮ On the measurement and treatment of extremes in time series ⋮ Extreme-value analysis of teletraffic data ⋮ Estimation of a tail index based on minimum density power divergence ⋮ Poisson limits for \(U\)-statistics. ⋮ Extreme dependence of multivariate catastrophic losses ⋮ ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA ⋮ Modeling multivariate extreme events using self-exciting point processes ⋮ Weak convergence of the tail empirical process for dependent sequences ⋮ Unnamed Item ⋮ Moment estimator for random vectors with heavy tails ⋮ Extremal limit theorems for observations separated by random power law waiting times ⋮ Second-order regular variation, convolution and the central limit theorem ⋮ On the estimation of the heavy-tail exponent in time series using the max-spectrum ⋮ Regeneration-based statistics for Harris recurrent Markov chains ⋮ On the distribution of tail array sums for strongly mixing stationary sequences ⋮ Tail index estimation for dependent data ⋮ A simple robust estimation method for the thickness of heavy tails ⋮ How to make a Hill plot. ⋮ Estimation of the index parameter for autoregressive data using the estimated innovations ⋮ Moving-maximum models for extrema of time series
Uses Software
This page was built for publication: Consistency of Hill's estimator for dependent data
