Hill's estimator for the tail index of an ARMA model
type: Item
instance of: scholarly article
title: Hill's estimator for the tail index of an ARMA model
zbMATH Open document ID: 1123.62308
DOI: 10.1016/S0378-3758(03)00151-4
author: Shiqing Ling
author: Liang Peng
published in: Journal of Statistical Planning and Inference
publication date: 2004-08-19T00:00:00Z
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 2092975
zbMATH Keywords: ARMA model
zbMATH Keywords: Hill's estimator
zbMATH Keywords: Optimal sample fraction
zbMATH Keywords: Regularly varying
zbMATH Keywords: Tail index
MaRDI profile type: Publication
cites work: Q5560061
cites work: Time series: theory and methods.
cites work: Using a bootstrap method to choose the sample fraction in tail index estimation
cites work: Inference for the tail parameters of a linear process with heavy tail innovations
cites work: Gauss-Newton and M-estimation for ARMA processes with infinite variance
cites work: Weighted approximations of tail processes for \(\beta\)-mixing random variables.
cites work: Selecting the optimal sample fraction in univariate extreme value estimation
cites work: Q3762535
cites work: Second-order regular variation, convolution and the central limit theorem
cites work: An adaptive optimal estimate of the tail index for MA(1) time series
cites work: Convolutions of heavy-tailed random variables and applications to portfolio diversification and \(\text{MA}(1)\) time series
cites work: Comparison of tail index estimators
cites work: On asymptotic normality of the hill estimator
cites work: A simple general approach to inference about the tail of a distribution
cites work: On tail index estimation using dependent data
cites work: Weak convergence of the residual empirical process in explosive autoregression
cites work: On residual empirical processes of stochastic regression models with applications to time series
cites work: Weak convergence of the sequential empirical processes of residuals in nonstationary autoregressive models
cites work: Parameter estimation for ARMA models with infinite variance innovations
cites work: Consistency of Hill's estimator for dependent data
cites work: Asymptotic behavior of hill's estimator for autoregressive data
cites work: Tail index estimation for dependent data
cites work: On the distribution of tail array sums for strongly mixing stationary sequences
full work available at URL: s0378-3758(03)00151-4
OpenAlex ID: W2002732023
description: scientific article; zbMATH DE number 2092975