Sequential monitoring of the tail behavior of dependent data

DOI10.1016/j.jspi.2016.08.010zbMath1394.62122OpenAlexW2207925865MaRDI QIDQ729715

Dominik Wied, Yannick Hoga

Publication date: 22 December 2016

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/34291

zbMATH Keywords

functional central limit theorem\(\beta\)-mixingtail indexextreme quantileschange pointsequential monitoring

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)

Related Items (3)

Quantifying the data-dredging bias in structural break tests ⋮ A monitoring procedure for detecting structural breaks in factor copula models ⋮ Monitoring multivariate time series

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Extreme quantile estimation for dependent data, with applications to finance
• Extremal memory of stochastic volatility with an application to tail shape inference
• The tail empirical process for long memory stochastic volatility sequences
• Change point test for tail index for dependent data
• Monitoring correlation change in a sequence of random variables
• A note on weak convergence of the sequential multivariate empirical process under strong mixing
• Asymptotics of the shorth plot
• A simple general approach to inference about the tail of a distribution
• Inference for the tail parameters of a linear process with heavy tail innovations
• Some limit theorems for fractional Lévy Brownian fields
• The sample autocorrelations of heavy-tailed processes with applications to ARCH
• Weighted approximations of tail processes for \(\beta\)-mixing random variables.
• Weak convergence and empirical processes. With applications to statistics
• Structural Change Tests in Tail Behaviour and the Asian Crisis
• SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• The method of moments ratio estimator for the tail shape parameter
• Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
• Statistics of Extremes
• Monitoring Structural Change
• Testing for changes in (extreme) VaR
• Testing for Change Points in Time Series
• CHANGE POINT TESTS FOR THE TAIL INDEX OFβ-MIXING RANDOM VARIABLES
• Heavy-Tail Phenomena
• Multivariate Stochastic Volatility: A Review
• On the Construction of Almost Uniformly Convergent Random Variables with Given Weakly Convergent Image Laws
• Statistics of Heteroscedastic Extremes

This page was built for publication: Sequential monitoring of the tail behavior of dependent data