An adaptive optimal estimate of the tail index for MA(1) time series
type: Item
instance of: scholarly article
title: An adaptive optimal estimate of the tail index for MA(1) time series
zbMATH Open document ID: 0942.62060
DOI: 10.1016/S0167-7152(99)00099-1
author: J. L. Geluk
author: Liang Peng
published in: Statistics \& Probability Letters
publication date: 2000-08-27T00:00:00Z
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 1420522
zbMATH Keywords: regular variation
zbMATH Keywords: tail index
MaRDI profile type: Publication
cites work: Q4726487
cites work: The use of subseries values for estimating the variance of a general statistic from a stationary sequence
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: A moment estimator for the index of an extreme-value distribution
cites work: Optimal choice of sample fraction in extreme-value estimation
cites work: Selecting the optimal sample fraction in univariate extreme value estimation
cites work: Q5624436
cites work: Second-order regular variation, convolution and the central limit theorem
cites work: Comparison of tail index estimators
cites work: Estimating the index of a stable distribution
cites work: Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
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: Q5624460
cites work: Statistical inference using extreme order statistics
cites work: Consistency of Hill's estimator for dependent data
cites work: Tail index estimation for dependent data
cites work: On the distribution of tail array sums for strongly mixing stationary sequences
cites work: On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
full work available at URL: s0167-7152(99)00099-1
OpenAlex ID: W2032728806
description: scientific article; zbMATH DE number 1420522