Change point test for tail index of scale-shifted processes

DOI10.1515/STRM-2012-1147zbMATH Open1308.62175OpenAlexW643302494MaRDI QIDQ490349FDOQ490349

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

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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)

Cited In (6)

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

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