Tail index estimation in the presence of long-memory dynamics
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Publication:425381
DOI10.1016/j.csda.2011.07.018zbMath1318.62276OpenAlexW1985649522MaRDI QIDQ425381
Agnieszka Jach, Tucker S. McElroy
Publication date: 8 June 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2011.07.018
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)
Related Items (5)
Tail index estimation with a fixed tuning parameter fraction ⋮ Modeling of long-range memory processes with inverse cubic distributions by the nonlinear stochastic differential equations ⋮ On the measurement and treatment of extremes in time series ⋮ Detecting influential data points for the Hill estimator in Pareto-type distributions ⋮ The tail empirical process for long memory stochastic volatility models with leverage
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