CHANGE POINT TESTS FOR THE TAIL INDEX OFβ-MIXING RANDOM VARIABLES

DOI10.1017/S0266466616000189zbMath1442.62741MaRDI QIDQ5357392

Yannick Hoga

Publication date: 15 September 2017

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Related Items (8)

Quantifying the data-dredging bias in structural break tests ⋮ Measuring and comparing risks of different types ⋮ Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series ⋮ A class of bootstrap tests on the tail index ⋮ Statistics for heteroscedastic time series extremes ⋮ Sequential monitoring of the tail behavior of dependent data ⋮ Testing for changes in the tail behavior of Brown-Resnick Pareto processes ⋮ Where does the tail begin? An approach based on scoring rules

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