Moment-based tail index estimation-Reference-Cited by-同舟云学术

Moment-based tail index estimation

Published:2007-04 Issue:4 Volume:137 Page:1389-1406
ISSN:0378-3758
Container-title:Journal of Statistical Planning and Inference
language:en
Short-container-title:Journal of Statistical Planning and Inference

Author:

McElroy Tucker,Politis Dimitris N.

Publisher

Elsevier BV

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Reference14 articles.

1. Statistics for Long-Memory Processes;Beran,1994

2. Cline, D., 1983. Infinite series of random variables with regularly varying tails. Technical Report 83-24, Institute of Applied Mathematics and Statistics, University of British Columbia.

3. Kernel estimates of the tail index of a distribution;Csörgő;Ann. Statist.,1985

4. Limit theory for moving averages of random variables with regularly varying tail probabilities;Davis;Ann. Probab.,1985

5. A moment estimator for the index of an extreme-value distribution;Dekkers;Ann. Statist.,1989

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