Testing the tail index in autoregressive models
DOI10.1007/S10463-007-0155-ZzbMATH Open1332.62300OpenAlexW2042325246MaRDI QIDQ841013FDOQ841013
Authors: Jan Picek, Jana Jurečková, Hira L. Koul 
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
Recommendations
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Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to environmental and related topics (62P12) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
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- An approximation of partial sums of independent RV'-s, and the sample DF. I
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- Weighted empirical processes in dynamic nonlinear models.
- Goodness of fit for the extreme value distribution
- Limit distributions for linear programming time series estimators
- Test of tails based on extreme regression quantiles
- Title not available (Why is that?)
- Title not available (Why is that?)
- A class of tests on the tail index
- Testing the Gumbel hypothesis via the Pot-method
- LAN of extreme order statistics
- On testing the extreme value index via the POT-method
- Estimating Pareto tail index based on sample means
- An Adaptive Efficient Test for Gumbel Domain of Attraction
Cited In (8)
- Heavy tailed durations of regional rainfall.
- Test for tail index change in stationary time series with Pareto-type marginal distribution
- Statistical tests on tail index of a probability distribution. (With comments and rejoinder)
- Testing the autoregressive parameter with the t statistic
- A class of bootstrap tests on the tail index
- Change point test of tail index for autoregressive processes
- Test of tails based on extreme regression quantiles
- Testing for independence in heavy tailed and positive innovation time series
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