Tail index estimation for dependent data

JOURNAL ARTICLE published 1 November 1998 in The Annals of Applied Probability

Authors: Sidney Resnick | Catalin Stărică

On Tail Index Estimation Using Dependent Data

JOURNAL ARTICLE published 1 September 1991 in The Annals of Statistics

Authors: Tailen Hsing

Simple tail index estimation for dependent and heterogeneous data with missing values

JOURNAL ARTICLE published 1 February 2019 in Brazilian Journal of Probability and Statistics

Authors: Ivana Ilić | Vladica M. Veličković

Parameter estimation for moving averages with positive innovations

JOURNAL ARTICLE published 1 November 1996 in The Annals of Applied Probability

Authors: Paul D. Feigin | Marie F. Kratz | Sidney I. Resnick

Limits of on/off hierarchical product models for data transmission

JOURNAL ARTICLE published 1 November 2003 in The Annals of Applied Probability

Authors: Sidney Resnick | Gennady Samorodnitsky

Consistency of Hill's estimator for dependent data

JOURNAL ARTICLE published March 1995 in Journal of Applied Probability

Authors: Sidney Resnick | Cătălin Stărică

Tail equivalence and its applications

JOURNAL ARTICLE published March 1971 in Journal of Applied Probability

Authors: Sidney I. Resnick

Limit Theory for Moving Averages of Random Variables with Regularly Varying Tail Probabilities

JOURNAL ARTICLE published 1 February 1985 in The Annals of Probability

Authors: Richard Davis | Sidney Resnick

Functional Limit Theorems for Dependent Variables

JOURNAL ARTICLE published 1 October 1978 in The Annals of Probability

Authors: Richard Durrett | Sidney I. Resnick

On the foundations of multivariate heavy-tail analysis

JOURNAL ARTICLE published 2004 in Journal of Applied Probability

Authors: Sidney Resnick

Tail estimates motivated by extreme-value theory

JOURNAL ARTICLE published June 1985 in Advances in Applied Probability

Authors: Richard Davis | Sidney Resnick

Asymptotics of Markov Kernels and the Tail Chain

JOURNAL ARTICLE published March 2013 in Advances in Applied Probability

Authors: Sidney I. Resnick | David Zeber

ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA

JOURNAL ARTICLE published October 2010 in Econometric Theory

Authors: Jonathan B. Hill

On the distribution of tail array sums for strongly mixing stationary sequences

JOURNAL ARTICLE published 1 August 1998 in The Annals of Applied Probability

Authors: M. Ross Leadbetter | Holger Rootzén | Laurens de Haan

Parameter Estimation for Gibbs Distributions from Partially Observed Data

JOURNAL ARTICLE published 1 February 1992 in The Annals of Applied Probability

Authors: Francis Comets | Basilis Gidas

The extremal index of a higher-order stationary Markov chain

JOURNAL ARTICLE published 1 May 1998 in The Annals of Applied Probability

Authors: Seokhoon Yun

Tail measure and spectral tail process of regularly varying time series

JOURNAL ARTICLE published 1 December 2018 in The Annals of Applied Probability

Authors: Clément Dombry | Enkelejd Hashorva | Philippe Soulier

Self-similar communication models and very heavy tails

JOURNAL ARTICLE published 1 August 2000 in The Annals of Applied Probability

Authors: Sidney Resnick | Holger Rootzén

Heavy tail modeling and teletraffic data: special invited paper

JOURNAL ARTICLE published 1 October 1997 in The Annals of Statistics

Authors: Sidney I. Resnick

Prediction of Stationary Max-Stable Processes

JOURNAL ARTICLE published 1 May 1993 in The Annals of Applied Probability

Authors: Richard A. Davis | Sidney I. Resnick