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TitleOn the tail index estimation of an autoregressive Pareto process
Author(s)Ferreira, Marta Susana
KeywordsExtreme value theory
Autoregressive processes
Tail index estimation
Issue date2013
JournalDiscussiones Mathematicae: Probability and Statistics
Abstract(s)In this paper we consider an autoregressive Pareto process which can be used as an alternative to heavy tailedMARMA.We focus on the tail behavior and prove that the tail empirical quantile function can be approximated by a Gaussian process. This result allows to derive a class of consistent and asymptotically normal estimators for the shape parameter. We will see through simulation that the usual estimation procedure based on an i.i.d. setting may fall short of the desired precision.
AccessRestricted access (UMinho)
Appears in Collections:CMAT - Artigos em revistas com arbitragem / Papers in peer review journals

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