This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

On Tail Index Estimation for Dependent, Heterogenous Data

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Jonathan B. Hill (Florida International University)

Additional information is available for the following registered author(s):

Abstract

In this paper we analyze the asymptotic properties of the popular distribution tail index estimator by B. Hill (1975) for possibly heavy- tailed, heterogenous, dependent processes. We prove the Hill estimator is weakly consistent for processes with extremes that form mixingale sequences, and asymptotically normal for processes with extremes that are near-epoch-dependent on the extremes of a mixing process. Our limit theory covers infinitely many ARFIMA and FIGARCH processes, stochastic recurrence equations, and simple bilinear processes. Moreover, we develop a simple non-parametric kernel estimator of the asymptotic variance of the Hill estimator, and prove consistency for extremal-NED processes.

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 file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://129.3.20.41/eps/em/papers/0505/0505005.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by EconWPA in its series Econometrics with number 0505005.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 23 pages
Date of creation: 20 May 2005
Date of revision: 27 May 2005
Handle: RePEc:wpa:wuwpem:0505005

Note: Type of Document - pdf; pages: 23
Contact details of provider:
Web page: http://129.3.20.41

For technical questions regarding this item, or to correct its listing, contact: (EconWPA).

Related research
Keywords: Hill estimator regular variation infinite variance near epoch dependence mixingale kernel estimator tail array sum.

Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
C5 - Mathematical and Quantitative Methods - - Econometric Modeling
C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

This paper has been announced in the following NEP Reports:

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.:
  1. Akgiray, Vedat & Booth, G Geoffrey, 1988. "The Stable-Law Model of Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 6(1), pages 51-57, January.
  2. repec:cup:etheor:v:13:y:1997:i:3:p:353-67 is not listed on IDEAS
  3. Prasad V. Bidarkota & J. Huston McCulloch, 1998. "Optimal univariate inflation forecasting with symmetric stable shocks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(6), pages 659-670. [Downloadable!]
    Other versions:
  4. Caner, Mehmet, 1998. "Tests for cointegration with infinite variance errors," Journal of Econometrics, Elsevier, vol. 86(1), pages 155-175, June. [Downloadable!] (restricted)
  5. Davidson, James, 2004. "Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 16-29, January.
  6. Xiaohong Chen & Halbert White, 1997. "Central Limit and Functional Central Limit Theorems for Hilbert-Valued Dependent Heterogeneous Arrays with Applications," University of California at San Diego, Economics Working Paper Series 92-35r, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
Full references

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. Jonathan Hill, 2006. "On Functional Central Limit Theorems for Dependent, Heterogeneous Tail Arrays with Applications to Tail Index and Tail Dependence Estimators," Working Papers 0607, Florida International University, Department of Economics. [Downloadable!]
Statistics
Access and download statistics

Did you know? IDEAS was sponsored from 1997 to 2002 by the Université du Québec à Montréal.

This page was last updated on 2008-8-11.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.