Testing the tail index in autoregressive models
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Publication:841013
DOI10.1007/s10463-007-0155-zzbMath1332.62300MaRDI QIDQ841013
Jan Picek, Hira L. Koul, Jana Jureckova
Publication date: 14 September 2009
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10463-007-0155-z
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62P12: Applications of statistics to environmental and related topics
62P30: Applications of statistics in engineering and industry; control charts
62M07: Non-Markovian processes: hypothesis testing
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Cites Work
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