Change point test of tail index for autoregressive processes

DOI10.1016/J.JKSS.2011.10.003zbMATH Open1296.62171OpenAlexW2021351422MaRDI QIDQ457301FDOQ457301

Sangyeol Lee, Moosup Kim

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

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zbMATH Keywords

residualschange point testHill's estimatortail indexAR(\(p\)) process

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• On tail index estimation using dependent data
• Asymptotic behavior of hill's estimator for autoregressive data
• Title not available (Why is that?)
• Structural change tests in tail behaviour and the Asian crisis
• SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
• The Cusum Test for Parameter Change in Time Series Models
• Test for tail index change in stationary time series with Pareto-type marginal distribution
• M-estimation for autoregression with infinite variance
• Change point test for tail index for dependent data

Cited In (7)

• On the estimation of a changepoint in a tail index
• Recent progress in parameter change test for integer-valued time series models
• CHANGE POINT TESTS FOR THE TAIL INDEX OFβ-MIXING RANDOM VARIABLES
• Structural change tests in tail behaviour and the Asian crisis
• Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series
• Monitoring parameter changes in RCA(\(p\)) models
• Title not available (Why is that?)

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