Consistency of the Hill Estimator for Time Series Observed with Measurement Errors
DOI10.1111/jtsa.12515zbMath1452.62651OpenAlexW2990925733WikidataQ126669839 ScholiaQ126669839MaRDI QIDQ5111854
Publication date: 27 May 2020
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12515
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)
Related Items (2)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
- Semi-Markov chains and hidden semi-Markov models toward applications. Their use in reliability and DNA analysis.
- Hidden semi-Markov models
- A strong invariance theorem for the tail empirical process
- Laws of large numbers for sums of extreme values
- On tail index estimation using dependent data
- Tail index estimation for dependent data
- Limit theory for bilinear processes with heavy-tailed noise
- Estimating the endpoint of a distribution in the presence of additive observation errors
- Frontier estimation in the presence of measurement error with unknown variance
- Consistency of Hill estimators in a linear preferential attachment model
- Estimation for non-negative time series with heavy-tail innovations
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Estimating a Changepoint, Boundary, or Frontier in the Presence of Observation Error
- Consistency of Hill's estimator for dependent data
- Heavy-Tail Phenomena
This page was built for publication: Consistency of the Hill Estimator for Time Series Observed with Measurement Errors
