On Estimation and Testing for Pareto Tails

Autor:	Jordanova, Pavlina, Střelec, Luboš, Fabián, Zdeněk, Stehlík, Milan
Jazyk:	angličtina
Rok vydání:	2013
Předmět:	Point estimation testing against heavy tails asymptotic properties of estimators
Popis:	The t-Hill estimator for independent data was introduced by Fabian and Stehlik (2009). It estimates the extreme value index of distribution function with regularly varying tail. This paper considers sampling of an infinite moving average model. We prove that in the discussed case the t-Hill estimator is weak consistent. However, in contrast to independent identically distributed case here it is shown that the t-Hill and the Hill estimator applied to the moving average model are not robust with respect to large observations. 2010 Mathematics Subject Classification: 62F10, 62F12.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::21220e4bc93e485f8da1722b9515f0d2 https://hdl.handle.net/10525/2516 Zobrazit plný text záznamu