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TESTING FOR LINEAR DEPENDENCE IN HEAVY-TAILED DATA
Communications in Statistics - Theory and Methods, 2002We use the sample covariation to develop tests for lagged linear dependence in symmetric time series data. We propose tests for both finite and infinite variance processes. The finite sample performance of the tests is investigated using simulated data and compared to tests based on the von Neumann ratio.
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A practical method for analysing heavy tailed data
Canadian Journal of Statistics, 2009AbstractAn important practical issue of applying heavy tailed distributions is how to choose the sample fraction or threshold, since only a fraction of upper order statistics can be employed in the inference. Recently, Guillou & Hall (2001; Journal of Royal Statistical Society B, 63, 293–305) proposed a simple way to choose the threshold in ...
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The Heavy-Tailed Gleser Model: Properties, Estimation, and Applications
Mathematics, 2022Osvaldo Venegas +2 more
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An Algorithm for Fitting Heavy-Tailed Distributions via Generalized Hyperexponentials
INFORMS Journal on Computing, 2012Percy Brill
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