Sequential monitoring of the tail behavior of dependent data
| dc.contributor.author | Hoga, Yannick | |
| dc.contributor.author | Wied, Dominik | |
| dc.date.accessioned | 2015-10-19T12:08:44Z | |
| dc.date.available | 2015-10-19T12:08:44Z | |
| dc.date.issued | 2015 | |
| dc.description.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. | en |
| dc.identifier.uri | http://hdl.handle.net/2003/34291 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-16368 | |
| dc.language.iso | en | de |
| dc.relation.ispartofseries | Discussion Paper / SFB 823;41/2015 | en |
| dc.subject | sequential monitoring | en |
| dc.subject | functional central limit theorem | en |
| dc.subject | extreme quantiles | en |
| dc.subject | tail index | en |
| dc.subject | ß-mixing | en |
| dc.subject | change point | en |
| dc.subject.ddc | 310 | |
| dc.subject.ddc | 330 | |
| dc.subject.ddc | 620 | |
| dc.title | Sequential monitoring of the tail behavior of dependent data | en |
| dc.type | Text | en |
| dc.type.publicationtype | workingPaper | de |
| dcterms.accessRights | open access |