Please use this identifier to cite or link to this item: http://hdl.handle.net/10525/2516

 Title: On Estimation and Testing for Pareto Tails Authors: Jordanova, PavlinaStehlík, MilanFabián, ZdeněkStřelec, Luboš Keywords: Point estimationasymptotic properties of estimatorstesting against heavy tails Issue Date: 2013 Publisher: Institute of Mathematics and Informatics Bulgarian Academy of Sciences Citation: Pliska Studia Mathematica Bulgarica, Vol. 22, No 1, (2013), 89p-108p Abstract: The t-Hill estimator for independent data was introduced by Fabian and Stehlik (2009). It estimates the extreme value index of distribution function with regularly varying tail. This paper considers sampling of an infinite moving average model. We prove that in the discussed case the t-Hill estimator is weak consistent. However, in contrast to independent identically distributed case here it is shown that the t-Hill and the Hill estimator applied to the moving average model are not robust with respect to large observations. Description: 2010 Mathematics Subject Classification: 62F10, 62F12. URI: http://hdl.handle.net/10525/2516 ISSN: 0204-9805 Appears in Collections: 2013 Volume 22

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