Estimating the stable index in order to measure tail thickness: a critique
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Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique
Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique
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- Fourier-type estimation of the power GARCH model with stable-Paretian innovations
- Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models
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- Wavelet-based estimation for univariate stable laws
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- The mean residual life function at great age: Applications to tail estimation
- Recent results in applications and processing of -stable-distributed time series
- Estimating the index of a stable law via the pot-method
- Rank tests of unit root hypothesis with infinite variance errors
- Explicit and combined estimators for parameters of stable distributions
- Jump activity estimation for pure-jump semimartingales via self-normalized statistics
- Comparison of estimators in stable models.
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- Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate
- Geometric stable distributions in Banach spaces
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- Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series
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- POT-based estimator of the ruin probability in infinite time for loss models: An application to insurance risk
- On the robustness of nonlinearity tests to moment condition failure
- Detecting influential data points for the Hill estimator in Pareto-type distributions
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- A change-point approach for the identification of financial extreme regimes
- A matching prior for extreme quantile estimation of the generalized Pareto distribution
- Parameter estimation for 2-parameter generalized Pareto distribution by POME
- Robust inference in AR-G/GARCH models under model uncertainty
- A default Bayesian procedure for the generalized Pareto distribution
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