Article ID Journal Published Year Pages File Type
1152389 Statistics & Probability Letters 2012 10 Pages PDF
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 Mladenović 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
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