Test for tail index change in stationary time series with Pareto-type marginal distribution

DOI10.3150/08-BEJ157zbMath1200.62054arXiv0906.2037OpenAlexW1970155286MaRDI QIDQ605861

Sangyeol Lee, Moosup Kim

Publication date: 15 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.2037

zbMATH Keywords

tablestail indexextreme value theorymixing conditionchange point testHill's estimatorautoregressive processcusum testtail sequential process

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Non-Markovian processes: hypothesis testing (62M07)

Related Items (10)

Parameter change test for autoregressive conditional duration models ⋮ Recent progress in parameter change test for integer-valued time series models ⋮ US stock returns: are there seasons of excesses? ⋮ An extreme value analysis of the last century crises across industries in the U.S. economy ⋮ CHANGE POINT TESTS FOR THE TAIL INDEX OFβ-MIXING RANDOM VARIABLES ⋮ A class of bootstrap tests on the tail index ⋮ Change point test for tail index for dependent data ⋮ Change point test of tail index for autoregressive processes ⋮ Test for tail index constancy of GARCH innovations based on conditional volatility ⋮ On the tail index inference for heavy-tailed GARCH-type innovations

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