Tail Index Estimation for a Filtered Dependent Time Series

2012 ◽  
Author(s):  
Jonathan B. Hill
Keyword(s):  
Time Series ◽  
Tail Index ◽  
Tail Index Estimation ◽  
Index Estimation

scholarly journals Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation

2001 ◽  
Vol 76 (2) ◽  
pp. 226-248 ◽  
Author(s):  
J. Danielsson ◽  
L. de Haan ◽  
L. Peng ◽  
C.G. de Vries
Keyword(s):  
Bootstrap Method ◽  
Tail Index ◽  
Tail Index Estimation ◽  
Index Estimation ◽  
Sample Fraction

scholarly journals Smooth tail-index estimation

2009 ◽  
Vol 79 (9) ◽  
pp. 1155-1167 ◽  
Author(s):  
Samuel Müller ◽  
Kaspar Rufibach
Keyword(s):  
Tail Index ◽  
Tail Index Estimation ◽  
Index Estimation
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