Asymptotic properties of the tail distribution and Hill's estimator for shot noise sequence

DOI10.1007/S10687-011-0144-8MaRDI QIDQ907360zbMATH OpenOpenAlexFDO

Authors Chenhua Zhang, W. P. McCormick

Publication date 25 January 2016

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10687-011-0144-8

zbMATH Keywords

regular variationHill's estimatortail indexheavy tailhigher-order expansionshot noisesecond-order regularly varyingvon Mises condition

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Recommendations

• On asymptotic normality of Hill's estimator for the exponent of regular variation
• Loud shot noise
• On the asymptotic normality of Hill's estimator
• On tail index estimation using dependent data
• scientific article; zbMATH DE number 3988474

Cites work

• scientific article; zbMATH DE number 43570 (Why is no real title available?)
• scientific article; zbMATH DE number 3215082 (Why is no real title available?)
• scientific article; zbMATH DE number 3319355 (Why is no real title available?)
• scientific article; zbMATH DE number 3200963 (Why is no real title available?)
• A simple general approach to inference about the tail of a distribution
• Asymptotic behavior of hill's estimator for autoregressive data
• Asymptotic expansions for infinite weighted convolutions of heavy tail distributions and applications
• Confidence intervals for the tail index
• Consistency of Hill's estimator for dependent data
• Extremal properties of shot noise processes
• Hill's estimator for the tail index of an ARMA model
• Inference for the tail parameters of a linear process with heavy tail innovations
• Limit Theorems for Moving Averages with Random Coefficients and Heavy-Tailed Noise
• Limit theorems for empirical processes of cluster functionals
• Moving averages with random coefficients and random coefficient autoregressive models
• On asymptotic normality of the hill estimator
• On tail index estimation using dependent data
• Regular variation in the mean and stable limits for Poisson shot noise
• Tail index estimation for dependent data
• The stability of storage models with shot noise input

This page was built for publication: Asymptotic properties of the tail distribution and Hill's estimator for shot noise sequence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q907360)