Change point test for tail index of scale-shifted processes

DOI10.1515/STRM-2012-1147MaRDI QIDQ490349zbMATH OpenOpenAlexFDO

Authors Moosup Kim, Sangyeol Lee

Publication date 22 January 2015

Published in Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/strm-2012-1147

zbMATH Keywords

Hill estimatortail index estimationchange point testtail indexscale parameter shift

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Non-Markovian processes: hypothesis testing (62M07)

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Cited in

(6)

• Change point tests for the tail index of \(\beta\)-mixing random variables
• Change point test for tail index for dependent data
• A simple nonparametric test for structural change in joint tail probabilities
• On the estimation of a changepoint in a tail index
• Tests for scale changes based on pairwise differences
• Change point test of tail index for autoregressive processes

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