Inference on heavy tails from dependent data (Q1876387)
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scientific article; zbMATH DE number 2097080
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Inference on heavy tails from dependent data |
scientific article; zbMATH DE number 2097080 |
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Inference on heavy tails from dependent data (English)
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6 September 2004
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The author deals with problems of tail index and extreme quantile estimation from a sample of dependent random variables. Consistency and asymptotic normality of the corresponding estimators are established under mild mixing conditions. The accuracy of estimation is shown to be of the same order as if the data were independent. An approach to bias reduction is proposed as well as a procedure for practical estimation.
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tail index
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extreme quantile
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heavy tail
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dependence
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Value-at-Risk
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