Change point test of tail index for autoregressive processes

DOI10.1016/J.JKSS.2011.10.003MaRDI QIDQ457301zbMATH OpenOpenAlexFDO

Authors Moosup Kim, Sangyeol Lee

Publication date 26 September 2014

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2011.10.003

zbMATH Keywords

AR(\(p\)) processchange point testHill's estimatorresidualstail index

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Asymptotic behavior of hill's estimator for autoregressive data
• Change point test for tail index for dependent data
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• M-estimation for autoregression with infinite variance
• On tail index estimation using dependent data
• SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
• Structural change tests in tail behaviour and the Asian crisis
• Test for tail index change in stationary time series with Pareto-type marginal distribution
• The Cusum Test for Parameter Change in Time Series Models

Cited in

(12)

• Recent progress in parameter change test for integer-valued time series models
• Monitoring parameter changes in RCA(\(p\)) models
• On the tail index inference for heavy-tailed GARCH-type innovations
• Structural change tests in tail behaviour and the Asian crisis
• scientific article; zbMATH DE number 5926363 (Why is no real title available?)
• Change point test for tail index of scale-shifted processes
• Change point tests for the tail index of -mixing random variables
• Test for tail index change in stationary time series with Pareto-type marginal distribution
• Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series
• Change point test for tail index for dependent data
• Testing the tail index in autoregressive models
• On the estimation of a changepoint in a tail index

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