Testing the tail index in autoregressive models

DOI10.1007/s10463-007-0155-zzbMath1332.62300OpenAlexW2042325246MaRDI QIDQ841013

Jan Picek, Hira L. Koul, Jana Jureckova

Publication date: 14 September 2009

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-007-0155-z

zbMATH Keywords

empirical processheavy tailed distributionFeigin-Resnick estimatorPareto tail index

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to environmental and related topics (62P12) Applications of statistics in engineering and industry; control charts (62P30) Non-Markovian processes: hypothesis testing (62M07)

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Heavy tailed durations of regional rainfall., A class of bootstrap tests on the tail index

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