Allen, Michael R.; Datta, Somnath - In: Statistics & Probability Letters 41 (1999) 3, pp. 315-324
In this paper we consider an invertible autoregressive process where the innovations (errors) are i.i.d. satisfying a tail regularity condition. The problem of estimation of the index of regular variation [alpha] based on a finite realization of the time series is addressed. We propose the use...