Change point test for tail index for dependent data

DOI10.1007/S00184-010-0304-XMaRDI QIDQ649099zbMATH OpenOpenAlexFDO

Authors Moosup Kim, Sangyeol Lee

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)

Recommendations

• Change point test of tail index for autoregressive processes
• Change point tests for the tail index of \(\beta\)-mixing random variables
• Change point test for tail index of scale-shifted processes
• Test for tail index change in stationary time series with Pareto-type marginal distribution
• On the estimation of a changepoint in a tail index

Cites work

• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 2104207 (Why is no real title available?)
• A moment estimator for the index of an extreme-value distribution
• Bias reduction of a tail index estimator through an external estimation of the second-order parameter
• Estimating a tail exponent by modelling departure from a Pareto distribution
• Extreme quantile estimation for dependent data, with applications to finance
• On tail index estimation using dependent data
• On the estimation of jump points in smooth curves
• 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
• Weighted approximations of tail processes for \(\beta\)-mixing random variables.

Cited in

(11)

• Change point tests for the tail index of \(\beta\)-mixing random variables
• Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series
• Test for tail index constancy of GARCH innovations based on conditional volatility
• Change-point in the mean of dependent observations
• Test for tail index change in stationary time series with Pareto-type marginal distribution
• Structural change tests in tail behaviour and the Asian crisis
• On the estimation of a changepoint in a tail index
• Change point test for tail index of scale-shifted processes
• Sequential monitoring of the tail behavior of dependent data
• The CUSUM statistics of change-point models based on dependent sequences
• Change point test of tail index for autoregressive processes

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