Authors: Hoga, Yannick
Wied, Dominik
Title: Sequential monitoring of the tail behavior of dependent data
Language (ISO): en
Abstract: We construct a sequential monitoring procedure for changes in the tail index and extreme quantiles of ß-mixing random variables, which can be based on a large class of tail index estimators. The assumptions on the data are general enough to be satisfied in a wide range of applications. In a simulation study empirical sizes and power of the proposed tests are studied for linear and non-linear time series. Finally, we use our results to monitor Bank of America stock log-losses from 2007 to 2012 and detect changes in extreme quantiles without an accompanying detection of a tail index break.
Subject Headings: sequential monitoring
functional central limit theorem
extreme quantiles
tail index
ß-mixing
change point
URI: http://hdl.handle.net/2003/34291
http://dx.doi.org/10.17877/DE290R-16368
Issue Date: 2015
Appears in Collections:Sonderforschungsbereich (SFB) 823

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