Asymptotic normality of the likelihood moment estimators for a stationary linear process with heavy-tailed innovations

DOI10.1007/s10687-017-0301-9zbMath1392.62143arXiv1605.07854OpenAlexW2964250921MaRDI QIDQ1744173

Lukas Martig, Juerg Hüsler

Publication date: 16 April 2018

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.07854

zbMATH Keywords

asymptotic normalitylinear processesgeneralized Pareto distributionheavy-tailed datalikelihood moment estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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