Asymptotic Behavior of Hill's Estimator for Autoregressive Data
نویسنده
چکیده
Consider a stationary, pth order autoregression fX n g satisfying whose innovation sequence fZ n g is iid with regularly varying tail probabilities of index ?. From p of the autore-gressive coeecients and then to estimate the residuals by and then to apply Hill's estimator to the estimated residuals. We show that from the point of asymptotic variance, the second procedure is superior.
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