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  • Search: subject:"Hill’s estimator"
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Hill’s estimator 2 Regular variation 2 Tail index 2 Bifurcating autoregressive processes 1 Change point test 1 Point process 1
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Undetermined 2
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Article 2
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Undetermined 2
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Kim, Moosup 1 Lee, Sangyeol 1 Zhang, Chenhua 1
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Metrika 1 Statistics & Probability Letters 1
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RePEc 2
Showing 1 - 2 of 2
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Parameter estimation for first-order bifurcating autoregressive processes with Weibull innovations
Zhang, Chenhua - In: Statistics & Probability Letters 81 (2011) 12, pp. 1961-1969
We study the first-order bifurcating autoregressive process Xt=ϕX⌊t/2⌋+ϵt with Weibull innovations. Using point process technique, we estimate the model parameter ϕ and the tail index α in the Weibull distribution and obtain the joint limit distribution of estimators.
Persistent link: https://www.econbiz.de/10011039835
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Change point test for tail index for dependent data
Kim, Moosup; Lee, Sangyeol - In: Metrika 74 (2011) 3, pp. 297-311
Persistent link: https://www.econbiz.de/10009324801
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