Consistent estimation of the tail index for dependent data
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Publication:613172
DOI10.1016/J.SPL.2010.08.009zbMATH Open1202.62065OpenAlexW2093784261MaRDI QIDQ613172FDOQ613172
Ana Cristina Moreira Freitas, Margarida Brito
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
Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Generalized stochastic processes (60G20)
Cites Work
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Cited In (6)
- A continuous updating weighted least squares estimator of tail dependence in high dimensions
- 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?)
- On the measurement and treatment of extremes in time series
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