Change point test for tail index for dependent data

DOI10.1007/S00184-010-0304-XzbMath1226.62080OpenAlexW2082514565MaRDI QIDQ649099

Sangyeol Lee, Moosup Kim

Publication date: 30 November 2011

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-010-0304-x

zbMATH Keywords

regular variationchange point testHill's estimator

Mathematics Subject Classification ID

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

Related Items (6)

The CUSUM statistics of change-point models based on dependent sequences ⋮ Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series ⋮ CHANGE POINT TESTS FOR THE TAIL INDEX OFβ-MIXING RANDOM VARIABLES ⋮ Change point test of tail index for autoregressive processes ⋮ Sequential monitoring of the tail behavior of dependent data ⋮ Test for tail index constancy of GARCH innovations based on conditional volatility

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• Bias reduction of a tail index estimator through an external estimation of the second-order parameter

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