Authors: Kampen, Maarten van
Krämer, Walter
Title: A simple nonparametric test for structural change in joint tail probabilities
Language (ISO): en
Abstract: We propose a new test against a change in the probability of multivariate tail events. The test is based on partial sums of a suitably defined indicator function and detects abrupt changes in joint tail probabilities better than a previously suggested competitor.
Subject Headings: joint extremes
structural change
Issue Date: 2009-07
Appears in Collections:Sonderforschungsbereich (SFB) 823

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