Consistent Estimation Of The Tail Index For Dependent Data

Margarida Brito,Ana Cristina Moreira Freitas

Statistics & Probability Letters（2010）

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摘要

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. (c) 2010 Elsevier B.V. All rights reserved.

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关键词

Consistency,Mixing conditions,Order statistics,Parameter estimation,Tail indices

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