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Change point test for tail index of scale-shifted processes

Author

Listed:
  • Kim Moosup

    (Department of Statistics, Seoul National University, Seoul 151-742, Korea)

  • Lee Sangyeol

    (Department of Statistics, Seoul National University, Seoul 151-742, Korea)

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.

Suggested Citation

  • Kim Moosup & Lee Sangyeol, 2014. "Change point test for tail index of scale-shifted processes," Statistics & Risk Modeling, De Gruyter, vol. 31(3-4), pages 297-333, December.
    • Handle: RePEc:bpj:strimo:v:31:y:2014:i:3-4:p:37:n:1
    DOI: 10.1515/strm-2012-1147
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    References listed on IDEAS

    as
    1. Moosup Kim & Sangyeol Lee, 2011. "Change point test for tail index for dependent data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 74(3), pages 297-311, November.
    2. Sangyeol Lee & Siyun Park, 2001. "The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 28(4), pages 625-644, December.
    3. Carmela Quintos & Zhenhong Fan & Peter C. B. Phillips, 2001. "Structural Change Tests in Tail Behaviour and the Asian Crisis," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 68(3), pages 633-663.
    Full references (including those not matched with items on IDEAS)

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