On robust tail index estimation for linear long-memory processes
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Author / Producer
Date
2012-05
Publication Type
Journal Article
ETH Bibliography
yes
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Publication status
published
Editor
Book title
Journal / series
Volume
33 (3)
Pages / Article No.
406 - 423
Publisher
Wiley-Blackwell
Event
Edition / version
Methods
Software
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Date collected
Date created
Subject
Long memory; Infinite variance; Tail index; M-estimation
Organisational unit
Notes
Received July 2010, Published online 13 March 2012.