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On robust tail index estimation for linear long‐memory processes

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  • Jan Beran
  • Bikramjit Das
  • Dieter Schell

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  • Jan Beran & Bikramjit Das & Dieter Schell, 2012. "On robust tail index estimation for linear long‐memory processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(3), pages 406-423, May.
    • Handle: RePEc:bla:jtsera:v:33:y:2012:i:3:p:406-423
    DOI: j.1467-9892.2011.00774.x
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    File URL: http://hdl.handle.net/10.1111/j.1467-9892.2011.00774.x
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    Cited by:

    1. Fung, Tsz Chai, 2022. "Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 180-198.
    2. Vitalii Makogin & Marco Oesting & Albert Rapp & Evgeny Spodarev, 2021. "Long range dependence for stable random processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(2), pages 161-185, March.
    3. Igor Fedotenkov, 2020. "A Review of More than One Hundred Pareto-Tail Index Estimators," Statistica, Department of Statistics, University of Bologna, vol. 80(3), pages 245-299.
    4. Chengping Gong & Chengxiu Ling, 2018. "Robust Estimations for the Tail Index of Weibull-Type Distribution," Risks, MDPI, vol. 6(4), pages 1-15, October.

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