An adaptive optimal estimate of the tail index for MA(1) time series
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Publication:1970810
DOI10.1016/S0167-7152(99)00099-1zbMath0942.62060OpenAlexW2032728806MaRDI QIDQ1970810
Publication date: 27 August 2000
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-7152(99)00099-1
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)
Related Items (4)
Hill's estimator for the tail index of an ARMA model ⋮ On the estimation of a changepoint in a tail index ⋮ Second-order properties of tail probabilities of sums and randomly weighted sums ⋮ Some aspects of extreme value statistics under serial dependence
Cites Work
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