Estimating Heavy-Tail Exponents Through Max Self–Similarity
From MaRDI portal
Publication:5281042
DOI10.1109/TIT.2010.2103751zbMath1366.62041arXivmath/0609163OpenAlexW2119423494MaRDI QIDQ5281042
George Michailidis, Murad S. Taqqu, Stilian A. Stoev
Publication date: 27 July 2017
Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0609163
Related Items (9)
\textit{Independent approximates} enable closed-form estimation of heavy-tailed distributions ⋮ Identification and validation of stable ARFIMA processes with application to UMTS data ⋮ Modelling priority queuing systems with varying service capacity ⋮ Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models ⋮ Tail index estimation in the presence of long-memory dynamics ⋮ Power-law distributions in binned empirical data ⋮ On the measurement and treatment of extremes in time series ⋮ Robust wavelet-domain estimation of the fractional difference parameter in heavy-tailed time series: An empirical study ⋮ On the estimation of the heavy-tail exponent in time series using the max-spectrum
This page was built for publication: Estimating Heavy-Tail Exponents Through Max Self–Similarity