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Title: On Estimation and Testing for Pareto Tails
Authors: Jordanova, Pavlina
Stehlík, Milan
Fabián, Zdeněk
Střelec, Luboš
Keywords: Point estimation
asymptotic properties of estimators
testing 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.
ISSN: 0204-9805
Appears in Collections:2013 Volume 22

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