Pages that link to "Item:Q1178953"
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The following pages link to On tail index estimation using dependent data (Q1178953):
Displaying 50 items.
- Adapting extreme value statistics to financial time series: dealing with bias and serial dependence (Q135348) (← links)
- On the tail index inference for heavy-tailed GARCH-type innovations (Q263253) (← links)
- Tail index estimation in the presence of long-memory dynamics (Q425381) (← links)
- On tail index estimation using a sample with missing observations (Q433581) (← links)
- Change point test of tail index for autoregressive processes (Q457301) (← links)
- Editorial: Special issue on time series extremes (Q508716) (← links)
- On the measurement and treatment of extremes in time series (Q508717) (← links)
- Test for tail index change in stationary time series with Pareto-type marginal distribution (Q605861) (← links)
- Extremal memory of stochastic volatility with an application to tail shape inference (Q607175) (← links)
- Consistent estimation of the tail index for dependent data (Q613172) (← links)
- Extreme values statistics for Markov chains via the (pseudo-) regenerative method (Q626299) (← links)
- Change point test for tail index for dependent data (Q649099) (← links)
- An empirical likelihood approach for symmetric \(\alpha\)-stable processes (Q888475) (← links)
- Asymptotic properties of the tail distribution and Hill's estimator for shot noise sequence (Q907360) (← links)
- Tail inference: where does the tail begin? (Q907362) (← links)
- Estimation of a tail index based on minimum density power divergence (Q957324) (← links)
- Some aspects of extreme value statistics under serial dependence (Q1003318) (← links)
- Weak convergence of the tail empirical process for dependent sequences (Q1004402) (← links)
- On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation (Q1011549) (← links)
- On the distribution of tail array sums for strongly mixing stationary sequences (Q1296609) (← links)
- Tail index estimation for dependent data (Q1296719) (← links)
- On some estimates based on sample behavior near high level excursions (Q1326312) (← links)
- On tail parameter estimation in certain point process models (Q1361753) (← links)
- Moving-maximum models for extrema of time series (Q1600711) (← links)
- Extreme quantile estimation for \(\beta\)-mixing time series and applications (Q1622510) (← links)
- Asymmetry in tail dependence in equity portfolios (Q1659125) (← links)
- Semi-parametric regression estimation of the tail index (Q1697475) (← links)
- Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors (Q1711567) (← links)
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization (Q1715530) (← links)
- Simple tail index estimation for dependent and heterogeneous data with missing values (Q1729814) (← links)
- Empirical likelihood approach toward discriminant analysis for dynamics of stable processes (Q1731205) (← links)
- Asymptotic normality of the likelihood moment estimators for a stationary linear process with heavy-tailed innovations (Q1744173) (← links)
- Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models (Q1762973) (← links)
- Weighted approximations of tail processes for \(\beta\)-mixing random variables. (Q1872492) (← links)
- Inference on heavy tails from dependent data (Q1876387) (← links)
- Hill's estimator for the tail index of an ARMA model (Q1877836) (← links)
- Limit theorems for stable processes with application to spectral density estimation (Q1890713) (← links)
- On high level exceedance modeling and tail inference (Q1890883) (← links)
- An adaptive optimal estimate of the tail index for MA(1) time series (Q1970810) (← links)
- An enhanced method for tail index estimation under missingness (Q1984154) (← links)
- A horse race between the block maxima method and the peak-over-threshold approach (Q2075692) (← links)
- Volatility regressions with fat tails (Q2227065) (← links)
- Trend detection for heteroscedastic extremes (Q2303026) (← links)
- Risk forecasting in the context of time series (Q2304433) (← links)
- Test for tail index constancy of GARCH innovations based on conditional volatility (Q2317888) (← links)
- Consistency of Hill estimators in a linear preferential attachment model (Q2417998) (← links)
- Are there common values in first-price auctions? A tail-index nonparametric test (Q2439866) (← links)
- Measures of serial extremal dependence and their estimation (Q2447645) (← links)
- On maxima of partial samples in Gaussian sequences with pseudo-stationary trends (Q2471660) (← links)
- On estimation of the exponent of regular variation using a sample with missing observations (Q2479325) (← links)
