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

DOI10.1111/JTSA.12515zbMATH Open1452.62651OpenAlexW2990925733WikidataQ126669839 ScholiaQ126669839MaRDI QIDQ5111854FDOQ5111854

Piotr Kokoszka, Mihyun Kim

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

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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)

Cites Work

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• Frontier estimation in the presence of measurement error with unknown variance
• A strong invariance theorem for the tail empirical process
• Consistency of Hill's estimator for dependent data
• Estimating the endpoint of a distribution in the presence of additive observation errors
• Consistency of Hill estimators in a linear preferential attachment model
• Estimation for non-negative time series with heavy-tail innovations

Cited In (3)

• Asymptotic and finite sample properties of Hill-type estimators in the presence of errors in observations
• Estimating Long Memory in Panel Random‐Coefficient AR(1) Data
• Renewal model for anomalous traffic in Internet2 links

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