On Estimation and Testing for Pareto Tails

0394197 - ÚI 2014 RIV BG eng J - Journal Article
Jordanova, P. - Stehlík, M. - Fabián, Zdeněk - Střelec, L.
On Estimation and Testing for Pareto Tails.
Pliska Studia Mathematica Bulgarica. Roč. 22, č. 1 (2013), s. 89-108. ISSN 0204-9805
Institutional support: RVO:67985807
Keywords : testing against heavy tails * asymptotic properties of estimators * point estimation
Subject RIV: BB - Applied Statistics, Operational Research
http://www.math.bas.bg/~pliska/Pliska-22/Pliska-22-2013-089-108.pdf

The t-Hill estimator for independent data was introduced by Fabian and Stehlik (2009). It estimates the extreme value index of distribution function with regularly varying tail. This paper considers sampling of an infinite moving average model. We prove that in the discussed case the t-Hill estimator is weak consistent. However, in contrast to independent identically distributed case here it is shown that the t-Hill and the Hill estimator applied to the moving average model are not robust with respect to large observations.
Permanent Link: http://hdl.handle.net/11104/0222487