Change point test for tail index for dependent data
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Publication:649099
DOI10.1007/S00184-010-0304-XzbMath1226.62080OpenAlexW2082514565MaRDI QIDQ649099
Publication date: 30 November 2011
Published in: Metrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00184-010-0304-x
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Non-Markovian processes: hypothesis testing (62M07)
Related Items (6)
The CUSUM statistics of change-point models based on dependent sequences ⋮ 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 ⋮ Change point test of tail index for autoregressive processes ⋮ Sequential monitoring of the tail behavior of dependent data ⋮ Test for tail index constancy of GARCH innovations based on conditional volatility
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