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 |
Files in This Item:
File | Description | Size | Format | |
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DP_4115_SFB823_Hoga_Wied.pdf | DNB | 433.01 kB | Adobe PDF | View/Open |
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