Consistent estimation of the tail index for dependent data

Margarida Brito and Ana Cristina Moreira Freitas

Statistics & Probability Letters, 2010, vol. 80, issue 23-24, 1835-1843

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.

Keywords: Consistency; Mixing; conditions; Order; statistics; Parameter; estimation; Tail; indices (search for similar items in EconPapers)
Date: 2010
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