81 citations · 495 across the 57 of their papers we have counts for
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math.ST2006★ 7 cited
Estimating heavy-tail exponents through max self-similarity
Stilian A. Stoev, George Michailidis, Murad S. Taqqu
In this paper, a novel approach to the problem of estimating the heavy-tail exponent alpha>0 of a distribution is proposed. It is based on the fact that block-maxima of size m of t…
math.ST2006★ 55 cited
A Wavelet Whittle estimator of the memory parameter of a non-stationary Gaussian time series
Eric Moulines, François Roueff, Murad S. Taqqu
We consider a time series with memory parameter . This time series is either stationary or can be made stationary after differencing a f…