Consistency of the Hill estimator for time series observed with measurement errors

DOI10.1111/JTSA.12515MaRDI QIDQ5111854zbMATH OpenOpenAlexWikidataFDO

Authors Mihyun Kim, Piotr Kokoszka

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

zbMATH Keywords

measurement errorHill estimatorregular variation

Mathematics Subject Classification ID

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)

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Cites work

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• Estimation for non-negative time series with heavy-tail innovations
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• Limit theory for bilinear processes with heavy-tailed noise
• On tail index estimation using dependent data
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• Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems

Cited in

(4)

• Estimating long memory in panel random-coefficient AR(1) data
• Asymptotic and finite sample properties of Hill-type estimators in the presence of errors in observations
• Renewal model for anomalous traffic in Internet2 links
• Tail index estimation for discrete heavy-tailed distributions with application to statistical inference for regular Markov chains

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