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.
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页码：579 / 598
页数：19
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