Consistent estimation of the tail index for dependent data

We consider the estimation of the tail-index for dependent random variables. We establish the consistency of the geometric-type estimator (Brito and Freitas, 2003) for stationary sequences satisfying general mixing conditions and derive a simplified condition, specially adapted for applications.

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Year of publication:	2010
Authors:	Brito, Margarida ; Freitas, Ana Cristina Moreira
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 23-24, p. 1835-1843
Publisher:	Elsevier
Keywords:	Consistency Mixing conditions Order statistics Parameter estimation Tail indices

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008868854