Estimation for non-negative time series with heavy-tail innovations

DOI10.1111/j.1467-9892.2012.00815.xzbMath1274.62575OpenAlexW2169326025MaRDI QIDQ2852483

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Publication date: 9 October 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2012.00815.x

zbMATH Keywords

regular variationpoint processesARMA processesextreme value estimatornon-negative time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Statistics of extreme values; tail inference (62G32)

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