Hill's estimator under weak dependence

Karima Boualam and Youcef Berkoun

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 18, 9218-9229

Abstract: In this article, we investigate the asymptotic normality of the Hill's estimator of the tail index parameter, when the observations are weakly dependent in the sense of Doukhan and Louhichi (1999) and are drawn from a strictly linear process. We show that the previous result on Hill estimator obtained by Rootzen et al. (1990) and Resnick and Starica (1997) for strong mixing can be extended to weak dependence.

Date: 2017
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DOI: 10.1080/03610926.2016.1205615

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