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Change point test for tail index for dependent data

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Abstract

To test for the constancy of tail index, Quintos et al. (Rev Econ Stud 68:633–663, 2001) proposed three types of change point tests for independent and ARCH type sequences. In this paper, we demonstrate that their tests can be successfully extended to a large class of dependent stationary sequences. Further, we designate a time-reverse version of those tests since the original tests produce very low powers in case the tail of distribution gets thinner. A simulation study is implemented for illustration.

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Authors and Affiliations

  1. Department of Statistics, Seoul National University, Seoul, 151-742, Korea

    Moosup Kim & Sangyeol Lee

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  1. Moosup Kim
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  2. Sangyeol Lee
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Correspondence to Sangyeol Lee.

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Kim, M., Lee, S. Change point test for tail index for dependent data. Metrika 74, 297–311 (2011). https://doi.org/10.1007/s00184-010-0304-x

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  • DOI: https://doi.org/10.1007/s00184-010-0304-x

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