On the estimation of a changepoint in a tail index

DOI10.1007/S10986-005-0029-0MaRDI QIDQ852282zbMATH OpenOpenAlexFDO

Authors K. Gadeikis, V. Paulauskas

Publication date 28 November 2006

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10986-005-0029-0

zbMATH Keywords

changepointtail index

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 3656951 (Why is no real title available?)
• scientific article; zbMATH DE number 3560401 (Why is no real title available?)
• A bootstrap-based method to achieve optimality in estimating the extreme-value index
• A moment estimator for the index of an extreme-value distribution
• A new estimator for a tail index
• A simple general approach to inference about the tail of a distribution
• An adaptive optimal estimate of the tail index for MA(1) time series
• Change-point estimators in case of small disorders
• Change-point in the mean of dependent observations
• Convergence to a stable distribution via order statistics
• Kernel estimates of the tail index of a distribution
• More on \(p\)-stable convex sets in Banach spaces
• Nonparametric change-point estimation
• Optimal choice of sample fraction in extreme-value estimation
• Selecting the optimal sample fraction in univariate extreme value estimation
• Statistical inference using extreme order statistics
• Structural change tests in tail behaviour and the Asian crisis
• Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
• Using a bootstrap method to choose the sample fraction in tail index estimation
• Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems

Cited in

(10)

• On the tail index of a heavy tailed distribution
• Detecting change-points in extremes
• An Information-Based Approach to the Change-Point Problem of the Noncentral SkewtDistribution with Applications to Stock Market Data
• A change-point problem and inference for segment signals
• Change point test for tail index for dependent data
• Estimation of the tail index in the max-aggregation scheme
• Change point test for tail index of scale-shifted processes
• On Hinkley's estimator: inference about the change point
• Trend analysis of extreme values
• On the inconsistency of the change-point estimator for the NE family

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