Testing the tail index in autoregressive models

DOI10.1007/S10463-007-0155-ZMaRDI QIDQ841013zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

empirical processheavy tailed distributionFeigin-Resnick estimatorPareto tail index

Mathematics Subject Classification ID

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)

Recommendations

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Cites work

• scientific article; zbMATH DE number 3905657 (Why is no real title available?)
• scientific article; zbMATH DE number 4020202 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• A class of tests on the tail index
• An Adaptive Efficient Test for Gumbel Domain of Attraction
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• Estimating Pareto tail index based on sample means
• Goodness of fit for the extreme value distribution
• LAN of extreme order statistics
• Limit distributions for linear programming time series estimators
• On testing the extreme value index via the POT-method
• Test of tails based on extreme regression quantiles
• Testing the Gumbel hypothesis via the Pot-method
• Time series: theory and methods.
• Weighted empirical processes in dynamic nonlinear models.

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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