On robust tail index estimation for linear long‐memory processes
On robust tail index estimation for linear long‐memory processes
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DOI：
10.1111/j.1467-9892.2011.00774.x
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发表时间：
2012-05
影响因子：
0.9
通讯作者：
J. Beran;Bikramjit Das;Dieter Schell
中科院分区：
文献类型：
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作者：
J. Beran;Bikramjit Das;Dieter Schell
本文研究了具有独立同分布的线性长记忆过程尾指标α的稳健估计。新息εj遵循对称α稳定定律（1 < α < 2）和系数aj c·j−β。分别基于左尾和右尾的估计，以及具有改进效率的组合统计量和比较两个尾部的检验统计量。渐近结果的推导。仿真结果说明了有限样本性能。
We consider robust estimation of the tail index α for linear long‐memory processes with i.i.d. innovations εj following a symmetric α‐stable law (1 < α < 2) and coefficients aj ∼ c·j−β. Estimates based on the left and right tail respectively are obtained together with a combined statistic with improved efficiency, and a test statistic comparing both tails. Asymptotic results are derived. Simulations illustrate the finite sample performance.