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On robust tail index estimation for linear Long-memory processes

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2012

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Das, Bikramjit

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http://nbn-resolving.de/urn:nbn:de:bsz:352-232387
DOI (zitierfähiger Link)
https://doi.org/10.1111/j.1467-9892.2011.00774.x
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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

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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}
}
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