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Asymptotic properties of the partition function and applications in tail index inference of heavy-tailed data

Grahovac, Danijel, Jia, Mofei, Leonenko, Nikolai N. and Taufer, Emanuele 2014. Asymptotic properties of the partition function and applications in tail index inference of heavy-tailed data. Statistics 6 , pp. 1221-1242. 10.1080/02331888.2014.969267

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Abstract

The so-called partition function is a sample moment statistic based on blocks of data and it is often used in the context of multifractal processes. It will be shown that its behaviour is strongly influenced by the tail of the distribution underlying the data both in independent identically distributed and weakly dependent cases. These results will be used to develop graphical and estimation methods for the tail index of a distribution. The performance of the tools proposed is analysed and compared with other methods by means of simulations and examples.

Item Type: Article
Date Type: Published Online
Status: Published
Schools: Mathematics
Subjects: Q Science > QA Mathematics
Publisher: Taylor and Francis
ISSN: 0233-1888
Date of Acceptance: 22 September 2014
Last Modified: 05 Mar 2019 16:20
URI: http://orca.cf.ac.uk/id/eprint/66262

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