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On the Estimation of a Changepoint in a Tail Index

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Abstract

We investigate the application of a new estimator for the tail index proposed in [5] and [18]. Testing hypothesis of change at unknown place and detecting change in mean allow us to provide theoretical results on estimation of the changepoint in the tail index. We demonstrate the applicability of these results in practice.

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Authors and Affiliations

  1. Vilnius University, Naugarduko 24, LT-03225, Vilnius, Lithuania

    K. Gadeikis & V. Paulauskas

  2. Institute of Mathematics and Informatics, Akademijos 4, LT-08663, Vilnius, Lithuania

    V. Paulauskas

Authors
  1. K. Gadeikis
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  2. V. Paulauskas
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Additional information

Printed in Lietuvos Matematikos Rinkinys, Vol. 45, No. 3, pp. 333–348, July–September, 2005.

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Gadeikis, K., Paulauskas, V. On the Estimation of a Changepoint in a Tail Index. Lith Math J 45, 272–283 (2005). https://doi.org/10.1007/s10986-005-0029-0

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  • DOI: https://doi.org/10.1007/s10986-005-0029-0

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