Detecting change-points in extremes

DOI10.4310/SII.2015.v8.n1.a3zbMath1407.62311OpenAlexW2325528607MaRDI QIDQ1747429

Xianqiang Yang

Publication date: 8 May 2018

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/sii.2015.v8.n1.a3

zbMATH Keywords

tail behaviorextreme eventschanges in variancequantile methods

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Statistics of extreme values; tail inference (62G32)

Related Items (4)

Estimation for Extreme Conditional Quantiles of Functional Quantile Regression ⋮ US stock returns: are there seasons of excesses? ⋮ Simple change point model in heteroscedastic extremes ⋮ Regression models for change point data in extremes

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