An adaptive optimal estimate of the tail index for MA(l) time series

Statistics and Probability Letters

Volumn 46, Issue 3, 2000, Pages 217-227

  Geluk, J L ^a   Peng, Liang ^a  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Regular variation; Tail index

Indexed keywords

EID: 0042123000     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-7152(99)00099-1     Document Type: Article

References (20)

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