Change point test of tail index for autoregressive processes

DOI10.1016/j.jkss.2011.10.003zbMath1296.62171OpenAlexW2021351422MaRDI QIDQ457301

Sangyeol Lee, Moosup Kim

Publication date: 26 September 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2011.10.003

zbMATH Keywords

tail indexresidualschange point testHill's estimatorAR(\(p\)) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

Related Items (4)

Recent progress in parameter change test for integer-valued time series models ⋮ Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series ⋮ CHANGE POINT TESTS FOR THE TAIL INDEX OFβ-MIXING RANDOM VARIABLES ⋮ Monitoring parameter changes in RCA(\(p\)) models

Cites Work

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• Test for tail index change in stationary time series with Pareto-type marginal distribution
• Change point test for tail index for dependent data
• On tail index estimation using dependent data
• M-estimation for autoregression with infinite variance
• Structural Change Tests in Tail Behaviour and the Asian Crisis
• SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
• Asymptotic behavior of hill's estimator for autoregressive data
• The Cusum Test for Parameter Change in Time Series Models

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