Sequential monitoring of the tail behavior of dependent data
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Publication:729715
DOI10.1016/j.jspi.2016.08.010zbMath1394.62122OpenAlexW2207925865MaRDI QIDQ729715
Publication date: 22 December 2016
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2003/34291
functional central limit theorem\(\beta\)-mixingtail indexextreme quantileschange pointsequential monitoring
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)
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Quantifying the data-dredging bias in structural break tests ⋮ A monitoring procedure for detecting structural breaks in factor copula models ⋮ Monitoring multivariate time series
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