On the estimation of a changepoint in a tail index

DOI10.1007/S10986-005-0029-0zbMATH Open1201.91226OpenAlexW2082072734MaRDI QIDQ852282FDOQ852282

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

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zbMATH Keywords

changepointtail index

Mathematics Subject Classification ID

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

Cites Work

• Nonparametric change-point estimation
• Statistical inference using extreme order statistics
• Title not available (Why is that?)
• A simple general approach to inference about the tail of a distribution
• Optimal choice of sample fraction in extreme-value estimation
• Selecting the optimal sample fraction in univariate extreme value estimation
• Using a bootstrap method to choose the sample fraction in tail index estimation
• A moment estimator for the index of an extreme-value distribution
• Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
• Kernel estimates of the tail index of a distribution
• Structural change tests in tail behaviour and the Asian crisis
• A bootstrap-based method to achieve optimality in estimating the extreme-value index
• Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
• Convergence to a stable distribution via order statistics
• Change-point in the mean of dependent observations
• A new estimator for a tail index
• More on \(p\)-stable convex sets in Banach spaces
• An adaptive optimal estimate of the tail index for MA(1) time series
• Change-point estimators in case of small disorders
• Title not available (Why is that?)

Cited In (7)

• On the tail index of a heavy tailed distribution
• 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
• On Hinkley's estimator: inference about the change point
• On the inconsistency of the change-point estimator for the NE family

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