Second order properties of distribution tails and estimation of tail exponents in random difference equations

DOI10.1007/S10687-009-0082-XzbMATH Open1224.60116OpenAlexW2156433432MaRDI QIDQ626302FDOQ626302

Authors: Changryong Baek, Vladas Pipiras, Herwig Wendt, Patrice Abry 

Publication date: 22 February 2011

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-009-0082-x

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zbMATH Keywords

random difference equationARCH modelsecond order regular variationmultiplicative cascadetail exponent

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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Cited In (2)

• Estimation of parameters in heavy-tailed distribution when its second order tail parameter is known
• Convergence to type I distribution of the extremes of sequences defined by random difference equation

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