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Ilić, D. Ivana (Belgrade , 2013)[more][less]
Abstract: For the sequence of heavy-tailed and possibly dependent random variables with the missing observations the estimation of the tail-index is considered. Under minimal but verifiable assumption of ''extremal dependence'' we proved the consistency of geometric-type estimator (Brito and Freitas, 2003). We extended results from Mladenovic and Piterbarg (2008) and proved the consistency and the asymptotic normality of the Hill estimator. Illustrative examples are provided. URI: http://hdl.handle.net/123456789/2485 Files in this item: 1
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