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 |
URI: | http://hdl.handle.net/2003/26479 http://dx.doi.org/10.17877/DE290R-816 |
Issue Date: | 2009-07 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
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