Testing the tail index in autoregressive models

被引：0

作者：

Jana Jurečková

Hira L. Koul

Jan Picek

机构：

[1] Charles University in Prague,Department of Probability and Mathematical Statistics

[2] Michigan State University,Department of Statistics and Probability

[3] Technical University in Liberec,Department of Applied Mathematics

来源：

Annals of the Institute of Statistical Mathematics | 2009年 / 61卷

关键词：

Empirical process; Heavy tailed distribution; Feigin-Resnick estimator; Pareto tail index;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

We propose a class of nonparametric tests on the Pareto tail index of the innovation distribution in the linear autoregressive model. The simulation study illustrates a good performance of the tests. Such tests have various applications in a study of flood flows, rainflow data, behavior of solids, atmospheric ozone layer and reliability analysis, in communication engineering, in stock markets and insurance.

引用

页码：579 / 598

页数：19

共 30 条

[1]

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

[2]

Falk M.(1995)LAN of extreme order statistics Annals of Institute of Statistical Mathematics 47 693-717

[3]

Feigin P.D.(1994)Limit distributions for linear programming time series estimators Journal of Stochastic Processes & Applications 51 135-165

[4]

Resnick S.I.(2004)Estimating Pareto tail index using all observations REVSTAT 2 75-100

[5]

Fialová A.(1986)Inference in a multivariate generalized extreme value model—asymptotic properties of two test statistics Scandinavian Journal of Statistics 13 291-300

[6]

Jurečková J.(1997)Non-parametric tests in AR models with applications to climatic data Environmetrics 8 651-660

[7]

Picek J.(1992)A test for extreme value domain of attraction Journal of the American Statistical Association 87 171-177

[8]

Gomes M.I.(1984)Testing whether the shape parameter is zero in generalized extreme value distribution Biometrika 71 367-374

[9]

Alpuim M.T.(1999)Tests of tails based on extreme regression quantiles Statistics & Probability Letters 49 53-61

[10]

Hallin M.(2001)A class of tests on the tail index Extremes 4 165-183

← 1 2 3 →