J.L. Geluk () L. Peng () (FEW-Econometrie en besliskunde)
Abstract
For samples of random variables with a regularly varying tail estimating the tail index has received much attention recently. For the proof of asymptotic normality of the tail index estimator second order regular variation is needed. In this paper we first supplement earlier results on convolution given by Geluk et al. (1997). Secondly we propose a simple estimator of the tail index for finite moving average time series. We also give a subsampling procedure in order to estimate the optimal sample fraction in the sense of minimal mean squared error.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number
109.
References listed on IDEAS 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.: