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比利时vs摩洛哥足彩 ,
university of california san diego

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math 288 - statistics

tucker mcelroy

ucsd

parametric tail index estimation

abstract:

we consider a symmetric $alpha$-stable model for heavy tailed time series, which allows for some dependence structure (or memory) in the data. in this context, an estimator for the tail index is $alpha$ is presented, which has a rapid rate of convergence -in particular $op(n^{-1/2})$ -which is robust under intermediate memory. there is no need for blocking or tuning parameters for this estimator. small sample results and full asymptotics are provided in this paper, and simulation studies on various $alpha$-stable data sets are given as well.

host:

april 13, 2003

5:00 pm

ap&m 5829

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