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On the use of maximum entropy/autoregressive spectrum in harmonic analysis of time series

✍ Scribed by B. Fong Chao


Publisher
Springer
Year
1990
Tongue
English
Weight
467 KB
Volume
134
Category
Article
ISSN
0033-4533

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## Abstract This paper addresses the problem of estimating the tail index Ξ± of distributions with heavy, Pareto‐type tails for dependent data, that is of interest in the areas of finance, insurance, environmental monitoring and teletraffic analysis. A novel approach based on the max self‐similarity