On estimation and testing for Pareto tails

Pavlina Jordanova; Milan Stehlik; Zdenek Fabian; Lubos Strelec

On estimation and testing for Pareto tails

Pavlina Jordanova, Milan Stehlik, Zdenek Fabian, Lubos Strelec

Department of Data Acquisition and Data Quality

Research output: Contribution to journal › Article › peer-review

Abstract

The t-Hill estimator for independent data was introduced by Fabian and Stehlik (2009). It estimates the extreme value index of distribution function with regularly varying tail. This paper considers sampling of an infinite moving average model. We prove that in the discussed case the t-Hill estimator is weak consistent. However, in contrast to independent identically distributed case here it is shown that the t-Hill and the Hill estimator applied to the moving average model are not robust with respect to large observations.

Original language	English
Pages (from-to)	89-108
Number of pages	20
Journal	PLISKA - Studia Mathematica Bulgarica
Volume	22
Publication status	Published - 2013

Fields of science

101029 Mathematical statistics
101024 Probability theory
101026 Time series analysis
101018 Statistics
502025 Econometrics

JKU Focus areas

Computation in Informatics and Mathematics

Cite this

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title = "On estimation and testing for Pareto tails",

abstract = "The t-Hill estimator for independent data was introduced by Fabian and Stehlik (2009). It estimates the extreme value index of distribution function with regularly varying tail. This paper considers sampling of an infinite moving average model. We prove that in the discussed case the t-Hill estimator is weak consistent. However, in contrast to independent identically distributed case here it is shown that the t-Hill and the Hill estimator applied to the moving average model are not robust with respect to large observations.",

author = "Pavlina Jordanova and Milan Stehlik and Zdenek Fabian and Lubos Strelec",

year = "2013",

language = "English",

volume = "22",

pages = "89--108",

journal = "PLISKA - Studia Mathematica Bulgarica",

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TY - JOUR

T1 - On estimation and testing for Pareto tails

AU - Jordanova, Pavlina

AU - Stehlik, Milan

AU - Fabian, Zdenek

AU - Strelec, Lubos

PY - 2013

Y1 - 2013

N2 - The t-Hill estimator for independent data was introduced by Fabian and Stehlik (2009). It estimates the extreme value index of distribution function with regularly varying tail. This paper considers sampling of an infinite moving average model. We prove that in the discussed case the t-Hill estimator is weak consistent. However, in contrast to independent identically distributed case here it is shown that the t-Hill and the Hill estimator applied to the moving average model are not robust with respect to large observations.

AB - The t-Hill estimator for independent data was introduced by Fabian and Stehlik (2009). It estimates the extreme value index of distribution function with regularly varying tail. This paper considers sampling of an infinite moving average model. We prove that in the discussed case the t-Hill estimator is weak consistent. However, in contrast to independent identically distributed case here it is shown that the t-Hill and the Hill estimator applied to the moving average model are not robust with respect to large observations.

UR - http://www.ifas.jku.at

M3 - Article

SN - 0204-9805

VL - 22

SP - 89

EP - 108

JO - PLISKA - Studia Mathematica Bulgarica

JF - PLISKA - Studia Mathematica Bulgarica

ER -

On estimation and testing for Pareto tails

Abstract

Fields of science

JKU Focus areas

Other files and links

Model selection

Exact testing

Cite this

On estimation and testing for Pareto tails

Abstract

Fields of science

JKU Focus areas

Other files and links

Projects

Model selection

Exact testing

Cite this