Testing the tail index in autoregressive models

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

zbMATH Keywords

empirical process; heavy tailed distribution; Feigin-Resnick estimator; Pareto tail index

Mathematics Subject Classification ID

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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