On robust tail index estimation for linear long-memory processes

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Author
Beran, Jan
Das, Bikramjit
Schell, Dieter
Date
2012-05
Type
  • Journal Article
Publication status
published
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Journal / series
Journal of time series analysis
Volume
33(3)
Pages
406 - 423
Publisher
Wiley-Blackwell
Subject
Long memory; Infinite variance; Tail index; M-estimation
Notes
Received July 2010, Published online 13 March 2012.
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Citations
Cited 3 times in Web of Science
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