Consistent estimation of the tail index for dependent data

DOI10.1016/J.SPL.2010.08.009zbMATH Open1202.62065OpenAlexW2093784261MaRDI QIDQ613172FDOQ613172

Authors: Margarida Brito, Ana Cristina Moreira Freitas 

Publication date: 20 December 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.08.009

Recommendations

• On tail index estimation using dependent data
• Consistency of Hill's estimator for dependent data
• Inference on heavy tails from dependent data
• On tail index estimation using a sample with missing observations
• ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA

zbMATH Keywords

parameter estimationconsistencyorder statisticsmixing conditionstail indices

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Generalized stochastic processes (60G20)

Cites Work

• ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
• On tail index estimation using dependent data
• A simple general approach to inference about the tail of a distribution
• Moment-based tail index estimation
• A moment estimator for the index of an extreme-value distribution
• Tail index estimation for dependent data
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• Title not available (Why is that?)
• Consistency of Hill's estimator for dependent data
• A new approach on estimation of the tail index
• The method of moments ratio estimator for the tail shape parameter
• Limiting behaviour of a geometric-type estimator for tail indices.
• Weak limiting behaviour of a simple tail Pareto-index estimator
• Title not available (Why is that?)
• Almost sure convergence of the Hill estimator
• Weak convergence of a bootstrap geometric-type estimator with applications to risk theory

Cited In (14)

• Simple tail index estimation for dependent and heterogeneous data with missing values
• On tail index estimation using a sample with missing observations
• Local-maximum-based tail index estimator
• Inference on heavy tails from dependent data
• A continuous updating weighted least squares estimator of tail dependence in high dimensions
• Estimation of the tail index in the max-aggregation scheme
• On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
• A consistent estimator for skewness of partial sums of dependent data
• Interval estimation for a measure of tail dependence
• ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
• Title not available (Why is that?)
• Bias-corrected geometric-type estimators of the tail index
• Incomplete samples and tail estimation for stationary sequences
• On the measurement and treatment of extremes in time series

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