On robust tail index estimation for linear long-memory processes - Research Collection

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Author

Beran, Jan

Das, Bikramjit

Schell, Dieter

Date

2012-05

Type

Journal Article

Citations

Cited 3 times in Web of Science

ETH Bibliography

yes

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Publication status

published

External links

https://doi.org/10.1111/j.1467-9892.2011.00774.x

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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Citations

Cited 3 times in Web of Science

ETH Bibliography

yes

Altmetrics