Tail And Nontail Memory With Applications To Extreme Value And Robust Statistics
New notions of tail and nontail dependence are used to characterize separately extremal and nonextremal information, including tail log-exceedances and events, and tail-trimmed levels. We prove that near epoch dependence (McLeish, 1975; Gallant and White, 1988) and L 0-approximability (Pötscher and Prucha, 1991) are equivalent for tail events and tail-trimmed levels, ensuring a Gaussian central limit theory for important extreme value and robust statistics under general conditions. We apply the theory to characterize the extremal and nonextremal memory properties of possibly very heavy-tailed GARCH processes and distributed lags. This in turn is used to verify Gaussian limits for tail index, tail dependence, and tail-trimmed sums of these data, allowing for Gaussian asymptotics for a new tail-trimmed least squares estimator for heavy-tailed processes.
Volume (Year): 27 (2011)
Issue (Month): 04 (August)
|Contact details of provider:|| Postal: |
Web page: http://journals.cambridge.org/jid_ECT
When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:27:y:2011:i:04:p:844-884_00. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.