Hill's estimator for the tail index of an ARMA model

DOI10.1016/S0378-3758(03)00151-4zbMath1123.62308OpenAlexW2002732023MaRDI QIDQ1877836

Liang Peng, Shiqing Ling

Publication date: 19 August 2004

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(03)00151-4

zbMATH Keywords

ARMA modelHill's estimatorOptimal sample fractionRegularly varyingTail index

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

Related Items (8)

Multivariate Hill Estimators ⋮ Asymptotic properties of the tail distribution and Hill's estimator for shot noise sequence ⋮ On tail index estimation using a sample with missing observations ⋮ Estimating Long Memory in Panel Random‐Coefficient AR(1) Data ⋮ Some aspects of extreme value statistics under serial dependence ⋮ Workload Portfolio Optimization for Virtualized Computer Systems Based on Semiparametric Quantile Function Estimation ⋮ Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors ⋮ On the tail index inference for heavy-tailed GARCH-type innovations

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