In this paper, we consider the minimum density power divergence estimator for the tail index of heavy tailed distributions in strong mixing processes. It is shown that the estimator is consistent and asymptotically normal under regularity conditions. The simulation results demonstrate that the...

type="main" xml:id="jtsa12098-abs-0001"Many empirical findings show that volatility in financial time series exhibits high persistence. Some researchers argue that such persistency is due to volatility shifts in the market, while others believe that this is a natural fluctuation explained by...

We propose the Gaussian quasi-maximum likelihood estimator (QMLE) to detect and locate multiple volatility shifts. Our Gaussian QMLE is shown to be consistent under suitable conditions and the rate of convergence is provided. It is also shown that the binary segmentation procedure provides a...

In this paper, we consider the monitoring process in time series regression models with nonstationary regressors. To this end, we propose a monitoring process based on a modified square of residuals. Simulation results are provided for illustration.

In this article, we consider a model check test for linear processes with infinite variance. As a test statistic, we employ the portmanteau test with trimmed residuals. It is shown that the limiting null distribution of the test is a chi-square distribution. Simulation results are provided for...

A random functional central limit theorem is obtained for a stationary linear process of the form , where {[var epsilon]t} is a strictly stationary sequence of martingale differences and .

In this paper, we consider the problem of testing for a change of the marginal density of a strong mixing process. The test statistic is constructed based on the sequential kernel estimate. In order to derive the asymptotic distribution of the test statistic, we first show that a functional...

In this paper, we consider the Bickel-Rosenblatt test for a class of diffusion processes that covers the Ornstein-Uhlenbeck process. Using the discrete sampling scheme, we calculate residuals and construct the residual based Bickel-Rosenblatt test. We show that the test statistic is...