On robust tail index estimation for linear Long-memory processes

Lade...
Vorschaubild
Dateien
Zu diesem Dokument gibt es keine Dateien.
Datum
2012
Autor:innen
Herausgeber:innen
Kontakt
ISSN der Zeitschrift
Electronic ISSN
ISBN
Bibliografische Daten
Verlag
Schriftenreihe
Auflagebezeichnung
ArXiv-ID
Internationale Patentnummer
Angaben zur Forschungsförderung
Projekt
Open Access-Veröffentlichung
Core Facility der Universität Konstanz
Gesperrt bis
Titel in einer weiteren Sprache
Publikationstyp
Zeitschriftenartikel
Publikationsstatus
Published
Erschienen in
Journal of Time Series Analysis. 2012, 33(3), pp. 406-423. ISSN 0143-9782. eISSN 1467-9892. Available under: doi: 10.1111/j.1467-9892.2011.00774.x
Zusammenfassung

We consider robust estimation of the tail index α for linear long-memory processes inline image with i.i.d. innovations εj following a symmetric α-stable law (1 < α < 2) and coefficients aj ∼ c·j−βinline image. Estimates based on the left and right tail respectively are obtained together with a combined statistic with improved efficiency, and a test statistic comparing both tails. Asymptotic results are derived. Simulations illustrate the finite sample performance.

Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
510 Mathematik
Schlagwörter
Long memory, infinite variance, tail index, M-estimation
Konferenz
Rezension
undefined / . - undefined, undefined
Forschungsvorhaben
Organisationseinheiten
Zeitschriftenheft
Datensätze
Zitieren
ISO 690BERAN, Jan, Bikramjit DAS, Dieter SCHELL, 2012. On robust tail index estimation for linear Long-memory processes. In: Journal of Time Series Analysis. 2012, 33(3), pp. 406-423. ISSN 0143-9782. eISSN 1467-9892. Available under: doi: 10.1111/j.1467-9892.2011.00774.x
BibTex
@article{Beran2012robus-23238,
  year={2012},
  doi={10.1111/j.1467-9892.2011.00774.x},
  title={On robust tail index estimation for linear Long-memory processes},
  number={3},
  volume={33},
  issn={0143-9782},
  journal={Journal of Time Series Analysis},
  pages={406--423},
  author={Beran, Jan and Das, Bikramjit and Schell, Dieter}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/23238">
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2013-05-15T07:26:32Z</dcterms:available>
    <dc:contributor>Beran, Jan</dc:contributor>
    <dcterms:title>On robust tail index estimation for linear Long-memory processes</dcterms:title>
    <dcterms:issued>2012</dcterms:issued>
    <dcterms:bibliographicCitation>Journal of Time Series Analysis ; 33 (2012), 3. - S. 406-423</dcterms:bibliographicCitation>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dcterms:abstract xml:lang="eng">We consider robust estimation of the tail index α for linear long-memory processes inline image with i.i.d. innovations εj following a symmetric α-stable law (1 &lt; α &lt; 2) and coefficients aj ∼ c·j−βinline image. Estimates based on the left and right tail respectively are obtained together with a combined statistic with improved efficiency, and a test statistic comparing both tails. Asymptotic results are derived. Simulations illustrate the finite sample performance.</dcterms:abstract>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dc:creator>Schell, Dieter</dc:creator>
    <dc:contributor>Das, Bikramjit</dc:contributor>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dc:creator>Beran, Jan</dc:creator>
    <dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
    <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/23238"/>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2013-05-15T07:26:32Z</dc:date>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dc:rights>terms-of-use</dc:rights>
    <dc:language>eng</dc:language>
    <dc:contributor>Schell, Dieter</dc:contributor>
    <dc:creator>Das, Bikramjit</dc:creator>
  </rdf:Description>
</rdf:RDF>
Interner Vermerk
xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter
Kontakt
URL der Originalveröffentl.
Prüfdatum der URL
Prüfungsdatum der Dissertation
Finanzierungsart
Kommentar zur Publikation
Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Ja
Begutachtet
Diese Publikation teilen