Testing the tail index in autoregressive models

Author:

Jurečková Jana,Koul Hira L.,Picek Jan

Publisher

Springer Science and Business Media LLC

Subject

Statistics and Probability

Reference26 articles.

1. Brockwell P.J., Davis R.A. (1991). Time series: theory and methods (2nd ed.). Springer, New York

2. Castillo E., Calambos J., Sarabia J.M. (1989). The selection of the domain of attraction of an extreme value distribution from a data set. In: Hüsler J., Reiss R.-D. (eds). Extreme value theory—Proceedings of Oberwolfach 1987. Lecture Notes in Statistics, vol. 51 Springer, New York, pp 181–190

3. Embrechts P., Klüppelberg C., Mikosch T. (1997). Modelling of extremal events in insurance and finance. Springer, New York

4. Falk M. (1995a). On testing the extreme value index via the POT-method. Annals of Statistics 23: 2013–2035

5. Falk M. (1995b). LAN of extreme order statistics. Annals of Institute of Statistical Mathematics 47: 693–717

Cited by 7 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. A class of bootstrap tests on the tail index;Communications in Statistics - Simulation and Computation;2021-03-14

2. A class of CUSUM tests using empirical distributions for tail changes in weakly dependent processes;Communications for Statistical Applications and Methods;2020-03-31

3. A NEW ESTIMATION PROCEDURE USING A REVERSIBLE JUMP MCMC ALGORITHM FOR AR MODELS OF EXPONENTIAL WHITE NOISE;International Journal of GEOMATE;2018-09-01

4. Professor Hira Lal Koul’s Contribution to Statistics;Contemporary Developments in Statistical Theory;2013-12-03

5. Estimator of the Pareto Index Based on Nonparametric Test;Communications in Statistics - Theory and Methods;2010-04-21

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号  京ICP备18003416号-3