Test for tail index change in stationary time series with Pareto-type marginal distribution (Q605861): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
Property / cites work
 
Property / cites work: Testing for parameter constancy in GARCH\((p,q)\) models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4836494 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4269108 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4726487 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4082864 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Kernel estimates of the tail index of a distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4348180 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Inference for the tail parameters of a linear process with heavy tail innovations / rank
 
Normal rank
Property / cites work
 
Property / cites work: M-estimation for autoregression with infinite variance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mixing: Properties and examples / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weak convergence of partial sums of absolutely regular sequences / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4343010 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Limit distributions for linear programming time series estimators / rank
 
Normal rank
Property / cites work
 
Property / cites work: SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3670359 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A simple general approach to inference about the tail of a distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: On tail index estimation using dependent data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Extremes and related properties of random sequences and processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Cusum Test for Parameter Change in Time Series Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Test for parameter change in stochastic processes based on conditional least-squares estimator / rank
 
Normal rank
Property / cites work
 
Property / cites work: Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Laws of large numbers for sums of extreme values / rank
 
Normal rank
Property / cites work
 
Property / cites work: A test for a change in a parameter occurring at an unknown point / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2753178 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Consistency of Hill's estimator for dependent data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic behavior of hill's estimator for autoregressive data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Smoothing the Hill Estimator / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating tails of probability distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: The effect of serial correlation on tests for parameter change at unknown time / rank
 
Normal rank

Revision as of 11:01, 3 July 2024

scientific article
Language Label Description Also known as
English
Test for tail index change in stationary time series with Pareto-type marginal distribution
scientific article

    Statements

    Test for tail index change in stationary time series with Pareto-type marginal distribution (English)
    0 references
    0 references
    0 references
    0 references
    15 November 2010
    0 references
    autoregressive process
    0 references
    change point test
    0 references
    cusum test
    0 references
    extreme value theory
    0 references
    Hill's estimator
    0 references
    mixing condition
    0 references
    tail index
    0 references
    tail sequential process
    0 references
    tables
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references