Consistency of Hill's estimator for dependent data
Work
Year: 1995
Type: article
Abstract: Consider a sequence of possibly dependent random variables having the same marginal distribution F , whose tail 1− F is regularly varying at infinity with an unknown index − α < 0 which is to be es... more
Source: Journal of Applied Probability
Authors Sidney I. Resnick, Cătălin Stărică
Institution Cornell University
Cites: 25
Cited by: 129
Related to: 10
FWCI: 9.273
Citation percentile (by year/subfield): 98.2
Subfield: Finance
Domain: Social Sciences
Open Access status: green