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Change point test for tail index of scale-shifted processes
-
Moosup Kim
and
Sangyeol Lee
Published/Copyright:
November 20, 2014
Abstract
In this paper, we study the change point test for the tail index of scale-shifted processes. To this task, we propose two tests. The first is designed via examining the discrepancy between the two Hill estimators obtained from the observations before and after a preliminary change point estimate. The second is a modified recursive test which uses scale-adjusted observations. Both methods produce a tail index estimator that outperforms the Hill estimator. A simulation study and real data analysis are provided for illustration.
Keywords: Tail index; Hill estimator; change point test; tail index estimation; scale parameter shift
Funding source: National Research Foundation of Korea (NRF)
Award Identifier / Grant number: 2012R1A2A2A01046092
We thank the two anonymous referees for their careful reading and valuable comments.
Received: 2013-2-17
Revised: 2014-9-17
Accepted: 2014-11-2
Published Online: 2014-11-20
Published in Print: 2014-12-1
© 2014 by De Gruyter
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Articles in the same Issue
- Frontmatter
- Law-invariant risk measures: Extension properties and qualitative robustness
- Constrained inference in multiple regression with structural changes
- Stochastic dominance with respect to a capacity and risk measures
- Change point test for tail index of scale-shifted processes
- Optimal risk allocation for convex risk functionals in general risk domains
Keywords for this article
Tail index;
Hill estimator;
change point test;
tail index estimation;
scale parameter shift
Articles in the same Issue
- Frontmatter
- Law-invariant risk measures: Extension properties and qualitative robustness
- Constrained inference in multiple regression with structural changes
- Stochastic dominance with respect to a capacity and risk measures
- Change point test for tail index of scale-shifted processes
- Optimal risk allocation for convex risk functionals in general risk domains
