Results 251 to 257 of about 169,695 (257)

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

Statistics and Probability Letters, 2000
Liang Peng
exaly  

On robust tail index estimation for linear long‐memory processes

Journal of Time Series Analysis, 2012
Bikramjit Das, Jan Beran, Dieter Schell   +2 more
exaly  

Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors

Econometric Reviews, 2019
Liang Peng, Rongmao Zhang
exaly  

Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation

Journal of Multivariate Analysis, 2001
exaly  

Test for tail index change in stationary time series with Pareto-type marginal distribution

Bernoulli, 2009
Moosup Kim, Sangyeol Lee
exaly  

Quick Look at Index Tails

2020
openaire   +1 more source

On tail index estimation based on multivariate data

Journal of Nonparametric Statistics, 2016
exaly