Change point test for tail index for dependent data
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References listed on IDEAS
- Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, Tilburg University, School of Economics and Management.
- Carmela Quintos & Zhenhong Fan & Peter C. B. Phillips, 2001. "Structural Change Tests in Tail Behaviour and the Asian Crisis," Review of Economic Studies, Oxford University Press, vol. 68(3), pages 633-663.
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- 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 1-37, December.
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KeywordsTail index; Regular variation; Hill’s estimator; Change point test;
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