CHANGE POINT TESTS FOR THE TAIL INDEX OFβ-MIXING RANDOM VARIABLES
针对尾部指数可能随时间变化的问题，提出了一类适用于多种尾部指数估计量的变点检验方法，其极限分布不依赖于估计量选择，且适用于相依数据，模拟研究验证了有限样本下的表现。
The tail index as a measure of tail thickness provides information that is not captured by standard volatility measures. It may however change over time. Currently available procedures for detecting those changes for dependent data (e.g., Quintos et al ., 2001) are all based on comparing Hill (1975) estimates from different subsamples. We derive tests for a wide class of other tail index estimators. The limiting distribution of the test statistics is shown not to depend on the particular choice of the estimator, while the assumptions on the dependence structure allow for sufficient generality in applications. A simulation study investigates empirical sizes and powers of the tests in finite samples.