A simple nonparametric test for structural change in joint tail probabilities

dc.contributor.author	Kampen, Maarten van	de
dc.contributor.author	Krämer, Walter	de
dc.date.accessioned	2009-10-29T10:06:14Z
dc.date.available	2009-10-29T10:06:14Z
dc.date.issued	2009-07	de
dc.description.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.	en
dc.identifier.uri	http://hdl.handle.net/2003/26479
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-816
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823; 4/2009	de
dc.subject	joint extremes	en
dc.subject	structural change	en
dc.subject.ddc	310	de
dc.subject.ddc	330	de
dc.subject.ddc	620	de
dc.title	A simple nonparametric test for structural change in joint tail probabilities	en
dc.type	Text	de
dc.type.publicationtype	report	de
dcterms.accessRights	open access

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