Change point test of tail index for autoregressive processes (Q457301): Difference between revisions

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+https://doi.org/10.1016/j.jkss.2011.10.003
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+W2021351422
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+Q4269108
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+Q4726487
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+M-estimation for autoregression with infinite variance
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+SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
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+On tail index estimation using dependent data
@@ Property / cites work: On tail index estimation using dependent data / rank @@
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+Test for tail index change in stationary time series with Pareto-type marginal distribution
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+Change point test for tail index for dependent data
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+The Cusum Test for Parameter Change in Time Series Models
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+Structural Change Tests in Tail Behaviour and the Asian Crisis
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+Asymptotic behavior of hill's estimator for autoregressive data
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