Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152389 | Statistics & Probability Letters | 2012 | 10 Pages |
Abstract
For the sequence of heavy-tailed, dependent and heterogeneous random variables with the missing observations the estimation of the tail-index is considered. Under minimal but verifiable assumption of “extremal dependence” we proved the consistency of a geometric-type estimator (Brito and Freitas, 2003). We extended results from MladenoviÄ and Piterbarg (2008) and proved the consistency and the asymptotic normality of the Hill estimator. Illustrative examples are provided.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Ivana IliÄ,