|Authors:||Kampen, Maarten van|
|Title:||A simple nonparametric test for structural change in joint tail probabilities|
|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|
|Appears in Collections:||Sonderforschungsbereich (SFB) 823|
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