尺度转移过程尾指数的变点检验

IF 1.3 Q2 STATISTICS & PROBABILITY

Statistics & Risk Modeling Pub Date : 2014-01-01 DOI:10.1515/strm-2012-1147

Moosup Kim, Sangyeol Lee

{"title":"尺度转移过程尾指数的变点检验","authors":"Moosup Kim, Sangyeol Lee","doi":"10.1515/strm-2012-1147","DOIUrl":null,"url":null,"abstract":"In this paper, we study the change point test for the tail index of scaleshifted processes. To this task, we propose two tests. The rst 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 modi ed 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.","PeriodicalId":44159,"journal":{"name":"Statistics & Risk Modeling","volume":null,"pages":null},"PeriodicalIF":1.3000,"publicationDate":"2014-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/strm-2012-1147","citationCount":"0","resultStr":"{\"title\":\"Change point test for tail index of scale-shifted processes\",\"authors\":\"Moosup Kim, Sangyeol Lee\",\"doi\":\"10.1515/strm-2012-1147\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper, we study the change point test for the tail index of scaleshifted processes. To this task, we propose two tests. The rst 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 modi ed 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.\",\"PeriodicalId\":44159,\"journal\":{\"name\":\"Statistics & Risk Modeling\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.3000,\"publicationDate\":\"2014-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1515/strm-2012-1147\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Statistics & Risk Modeling\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1515/strm-2012-1147\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Statistics & Risk Modeling","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/strm-2012-1147","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}

引用次数: 0

摘要

本文研究了尺度转移过程尾部指数的变化点检验方法。对于这个任务，我们提出两个测试。其余部分是通过检查从初步变化点估计前后的观测中获得的两个Hill估计量之间的差异来设计的。第二种是使用尺度调整观测值的改进递归检验。两种方法都会产生优于Hill估计器的尾指数估计器。给出了仿真研究和实际数据分析。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Change point test for tail index of scale-shifted processes

In this paper, we study the change point test for the tail index of scaleshifted processes. To this task, we propose two tests. The rst 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 modi ed 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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Statistics & Risk Modeling STATISTICS & PROBABILITY-

CiteScore

1.80

自引率

6.70%

发文量

期刊介绍： Statistics & Risk Modeling (STRM) aims at covering modern methods of statistics and probabilistic modeling, and their applications to risk management in finance, insurance and related areas. The journal also welcomes articles related to nonparametric statistical methods and stochastic processes. Papers on innovative applications of statistical modeling and inference in risk management are also encouraged. Topics Statistical analysis for models in finance and insurance Credit-, market- and operational risk models Models for systemic risk Risk management Nonparametric statistical inference Statistical analysis of stochastic processes Stochastics in finance and insurance Decision making under uncertainty.