Article ID Journal Published Year Pages File Type
1152730 Statistics & Probability Letters 2010 9 Pages PDF
Abstract

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.

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Physical Sciences and Engineering Mathematics Statistics and Probability
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Consistent estimation of the tail index for dependent data
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