Consistent estimation of the tail index for dependent data

DOI10.1016/j.spl.2010.08.009zbMath1202.62065OpenAlexW2093784261MaRDI QIDQ613172

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

zbMATH Keywords

order statisticsparameter estimationconsistencymixing 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)

Related Items (1)

On the measurement and treatment of extremes in time series

Cites Work

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• Moment-based tail index estimation
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• Tail index estimation for dependent data
• Limiting behaviour of a geometric-type estimator for tail indices.
• A new approach on estimation of the tail index
• Weak limiting behaviour of a simple tail Pareto-index estimator
• Weak convergence of a bootstrap geometric-type estimator with applications to risk theory
• Almost sure convergence of the Hill estimator
• The method of moments ratio estimator for the tail shape parameter
• Consistency of Hill's estimator for dependent data
• ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA

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