- Tytuł:
- On the tail index estimation of an autoregressive Pareto process
- Autorzy:
- Ferreira, Marta
- Powiązania:
- https://bibliotekanauki.pl/articles/729838.pdf
- Data publikacji:
- 2013
- Wydawca:
- Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
- Tematy:
-
extreme value theory
autoregressive processes
tail index estimation - Opis:
- In this paper we consider an autoregressive Pareto process which can be used as an alternative to heavy tailed MARMA. We focus on the tail behavior and prove that the tail empirical quantile function can be approximated by a Gaussian process. This result allows to derive a class of consistent and asymptotically normal estimators for the shape parameter. We will see through simulation that the usual estimation procedure based on an i.i.d. setting may fall short of the desired precision.
- Źródło:
-
Discussiones Mathematicae Probability and Statistics; 2013, 33, 1-2; 65-77
1509-9423 - Pojawia się w:
- Discussiones Mathematicae Probability and Statistics
- Dostawca treści:
- Biblioteka Nauki
Artykuł