Asymptotic behavior of hill's estimator for autoregressive data
نویسندگان
چکیده
منابع مشابه
Asymptotic Behavior of Hill's Estimator for Autoregressive Data
Consider a stationary, pth order autoregression fX n g satisfying whose innovation sequence fZ n g is iid with regularly varying tail probabilities of index ?. From p of the autore-gressive coeecients and then to estimate the residuals by and then to apply Hill's estimator to the estimated residuals. We show that from the point of asymptotic variance, the second procedure is superior.
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ژورنال
عنوان ژورنال: Communications in Statistics. Stochastic Models
سال: 1997
ISSN: 0882-0287
DOI: 10.1080/15326349708807448