On the estimation of the heavy-tail exponent in time series using the max-spectrum

DOI10.1002/ASMB.764zbMath1226.91090arXiv1005.4329OpenAlexW2952588560MaRDI QIDQ3103151

George Michailidis, Stilian A. Stoev

Publication date: 26 November 2011

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.4329

zbMATH Keywords

Fréchet distributionheavy-tailed time seriesmoving maximablock-maximaheavy-tail exponentmax-spectrumMax-stable

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (3)

Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models ⋮ Local-maximum-based tail index estimator ⋮ LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise

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• Confidence intervals for the tail index

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