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Inference for the Tail Parameters of a Linear Process with Heavy Tail Innovations

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Author Info
Somnath Datta
William McCormick
Abstract

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File URL: http://hdl.handle.net/10.1023/A:1003499300817
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Publisher Info
Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

Volume (Year): 50 (1998)
Issue (Month): 2 (June)
Pages: 337-359
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Handle: RePEc:spr:aistmt:v:50:y:1998:i:2:p:337-359

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Related research
Keywords: Linear processes; heavy tailed distribution; tail parameters; tail probability;

References listed on IDEAS
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  1. Rootzen, H. & Leadbetter, L. & De Haan, L., 1990. "Tail And Quantile Estimation For Strongly Mixing Stationary Sequences ," Papers 9024-a, Erasmus University of Rotterdam - Econometric Institute.
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. J.L. Geluk & L. Peng, 1999. "An adaptive optimal estimate of the tail index for MA(1) time series," Econometric Institute Report 109, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
  2. Jaap Geluk & Liang Peng & Casper G. de Vries, 1999. "Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series," Tinbergen Institute Discussion Papers 99-088/2, Tinbergen Institute. [Downloadable!]
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This page was last updated on 2009-11-7.

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