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Testing the tail index in autoregressive models

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  • Jana Jurečková
  • Hira Koul
  • Jan Picek

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  • Jana Jurečková & Hira Koul & Jan Picek, 2009. "Testing the tail index in autoregressive models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(3), pages 579-598, September.
    • Handle: RePEc:spr:aistmt:v:61:y:2009:i:3:p:579-598
    DOI: 10.1007/s10463-007-0155-z
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    References listed on IDEAS

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    1. Marc Hallin & Jana Jureckova & Jaroslava Kalvova & Jan Picek & Toufik Zahaf, 1997. "Non-parametric tests in AR models with applications to climatic data," ULB Institutional Repository 2013/2069, ULB -- Universite Libre de Bruxelles.
    2. Feigin, Paul D. & Resnick, Sidney I., 1994. "Limit distributions for linear programming time series estimators," Stochastic Processes and their Applications, Elsevier, vol. 51(1), pages 135-165, June.
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