Inference on heavy tails from dependent data
The author deals with problems of tail index and extreme quantile estimation from a sample of dependent random variables. Consistency and asymptotic normality of the corresponding estimators are established under mild mixing conditions. The accuracy of estimation is shown to be of the same order as if the data were independent. An approach to bias reduction is proposed as well as a procedure for practical estimation.
scientific article; zbMATH DE number 2097080