On robust tail index estimation for linear long-memory processes

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Author

Date

2012-05

Type

Journal Article

ETH Bibliography

yes

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Publication status

published

External links

Journal / series

Journal of Time Series Analysis

Volume

33(3)

Pages / Article No.

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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ETH Bibliography

yes

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Research Collection