Statistical inference for tail index and long-memory parameters

Applicant Professor Dr. Jan Beran

Subject Area Mathematics

Term from 2009 to 2014

Project identifier Deutsche Forschungsgemeinschaft (DFG) - Project number 165505095

Final Report Year 2014

Final Report Abstract

No abstract available

(2011). On semiparametric tail index estimation based on exponential families. Proc. 58th World Statistical Congress, 2011, Dublin (Session GPS014), pp. 4167-4170
Schell, D.
(2012). On robust tail estimation. Computational Statistics and Data Analysis, 56(11) pp. 3430-3443
Beran, J. and Schell, D.
(2012). On robust tail index estimation for linear long-memory processes. Journal of Time Series Analysis, 33(3), 40&-423
Beran, J., Das, B. and Schell, D.
(2014). On Robust Tail Index Estimation and Related Topics. Dissertation, Universität Konstanz
Schell, D.
(2014). The harmonic moment tail index estimator: asymptotic distribution and robustness. Annals of the Institute of Statistical Mathematics, Vol. 66, No. 1, 193-220
Beran, J., Schell, D., and Stehlik, M.
(See online at https://doi.org/10.1007/s10463-013-0412-2)