On estimation and testing for Pareto tails

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F13%3A00199830" target="_blank" >RIV/62156489:43110/13:00199830 - isvavai.cz</a>

Alternative codes found

RIV/67985807:_____/13:00394197

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

On estimation and testing for Pareto tails

Original language description

The t-Hill estimator for independent data was introduced by Fabian and Stehlik (2009). It estimates the extreme value index of distribution function with regularly varying tail. This paper considers sampling of an infinite moving average model. We provethat in the discussed case the t-Hill estimator is weak consistent. However, in contrast to independent identically distributed case here it is shown that the t-Hill and the Hill estimator applied to the moving average model are not robust with respect to large observations.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

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Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2013

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Pliska Bulgarski Matematicheski Studii

ISSN

0204-9805

e-ISSN

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Volume of the periodical

22

Issue of the periodical within the volume

1

Country of publishing house

BG - BULGARIA

Number of pages

20

Pages from-to

89-108

UT code for WoS article

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EID of the result in the Scopus database

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