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Consistent estimation of the tail index for dependent data

Title
Consistent estimation of the tail index for dependent data
Type
Article in International Scientific Journal
Year
2010
Authors
Margarida Brito
(Author)
FCUP
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Ana Cristina M Moreira Freitas
(Author)
FEP
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Journal
Vol. 80 No. 23-24
Pages: 1835-1843
ISSN: 0167-7152
Publisher: Elsevier Science
Indexing
Publicação em ISI Web of Science ISI Web of Science
Scientific classification
FOS: Natural sciences > Mathematics
Other information
Authenticus ID: P-003-0V9
Abstract (EN): 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.
Language: English
Type (Professor's evaluation): Scientific
No. of pages: 9
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