Change point test of tail index for autoregressive processes
type: Item
instance of: scholarly article
title: Change point test of tail index for autoregressive processes
zbMATH Open document ID: 1296.62171
author: Moosup Kim
author: Sangyeol Lee
published in: Journal of the Korean Statistical Society
publication date: 2014-09-26T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M07
Mathematics Subject Classification ID: 62F05
zbMATH DE Number: 6348528
zbMATH Keywords: tail index
zbMATH Keywords: Hill's estimator
zbMATH Keywords: change point test
zbMATH Keywords: AR(\(p\)) process
zbMATH Keywords: residuals
MaRDI profile type: Publication
full work available at URL: j.jkss.2011.10.003
OpenAlex ID: W2021351422
cites work: Q4269108
cites work: Q4726487
cites work: M-estimation for autoregression with infinite variance
cites work: SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
cites work: On tail index estimation using dependent data
cites work: Test for tail index change in stationary time series with Pareto-type marginal distribution
cites work: Change point test for tail index for dependent data
cites work: The Cusum Test for Parameter Change in Time Series Models
cites work: Structural change tests in tail behaviour and the Asian crisis
cites work: Asymptotic behavior of hill's estimator for autoregressive data
DOI: 10.1016/J.JKSS.2011.10.003
description: scientific article; zbMATH DE number 6348528