An adaptive optimal estimate of the tail index for MA(l) time series-Reference-Cited by-同舟云学术

An adaptive optimal estimate of the tail index for MA(l) time series

Published:2000-02 Issue:3 Volume:46 Page:217-227
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Geluk J.L.,Peng Liang

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference20 articles.

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3. Danielsson, J., de Haan, L., Peng, L., de Vries, C.G., 1997. Using a bootstrap method to choose the sample fraction in the tail index estimation. Technical Report. Erasmus University, Rotterdam.

4. Inference for the tail parameters of a linear process with heavy tailed innovations;Datta;Ann. Inst. Stat. Math.,1995

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

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