Test for tail index change in stationary time series with Pareto-type marginal distribution
نویسندگان
چکیده
منابع مشابه
Test for tail index change in stationary time series with Pareto-type marginal distribution
The tail index, indicating the degree of fatness of the tail distribution, is an important component of extreme value theory since it dominates the asymptotic distribution of extreme values such as the sample maximum. In this paper, we consider the problem of testing for a change in the tail index of time series data. As a test, we employ the cusum test and investigate its null limiting distrib...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2009
ISSN: 1350-7265
DOI: 10.3150/08-bej157