Statistical inference for tail index and long-memory parameters

• Applicant: Professor Dr. Jan Beran
• Subject Area: Mathematics
• Term: from 2009 to 2014
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 165505095

• Final Report Year: 2014

Final Report Abstract

No abstract available

Publications

• (2011). On semiparametric tail index estimation based on exponential families. Proc. 58th World Statistical Congress, 2011, Dublin (Session GPS014), pp. 4167-4170
  Schell, D.
  
• (2012). On robust tail estimation. Computational Statistics and Data Analysis, 56(11) pp. 3430-3443
  Beran, J. and Schell, D.
  
• (2012). On robust tail index estimation for linear long-memory processes. Journal of Time Series Analysis, 33(3), 40&-423
  Beran, J., Das, B. and Schell, D.
  
• (2014). On Robust Tail Index Estimation and Related Topics. Dissertation, Universität Konstanz
  Schell, D.
  
• (2014). The harmonic moment tail index estimator: asymptotic distribution and robustness. Annals of the Institute of Statistical Mathematics, Vol. 66, No. 1, 193-220
  Beran, J., Schell, D., and Stehlik, M.