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

DOI10.1007/S10687-011-0144-8zbMATH Open1329.62241OpenAlexW2086854885MaRDI QIDQ907360FDOQ907360

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

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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)

Cites Work

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• Tail index estimation for dependent data
• Hill's estimator for the tail index of an ARMA model
• Extremal properties of shot noise processes
• Confidence intervals for the tail index
• Moving averages with random coefficients and random coefficient autoregressive models
• Regular variation in the mean and stable limits for Poisson shot noise
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• Consistency of Hill's estimator for dependent data
• On asymptotic normality of the hill estimator
• Asymptotic expansions for infinite weighted convolutions of heavy tail distributions and applications
• Inference for the tail parameters of a linear process with heavy tail innovations
• The stability of storage models with shot noise input
• Limit Theorems for Moving Averages with Random Coefficients and Heavy-Tailed Noise

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