Change point test for tail index of scale-shifted processes

Kim Moosup () and Lee Sangyeol ()
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Kim Moosup: Department of Statistics, Seoul National University, Seoul 151-742, Korea
Lee Sangyeol: Department of Statistics, Seoul National University, Seoul 151-742, Korea

Statistics & Risk Modeling, 2014, vol. 31, issue 3-4, 297-333

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 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1515/strm-2012-1147

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