Change point test of tail index for autoregressive processes |
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Authors: | Moosup Kim Sangyeol Lee |
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Affiliation: | Department of Statistics, Seoul National University, Seoul, 151-747, Republic of Korea |
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Abstract: | In this paper, we extend the change point test for tail index proposed by Quintos, Fan, and Phillips (2001) to that based on autoregressive residuals. It is shown that the asymptotic null distribution of the test remains the same as that of the version in i.i.d. samples. A simulation study is carried out for illustration. |
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