ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA

DOI10.1017/S0266466609990624zbMath1198.62042MaRDI QIDQ4933584

Jonathan B. Hill

Publication date: 14 October 2010

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

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