Kim, Moosup; Lee, Sangyeol - In: Statistics & Risk Modeling 31 (2014) 3-4, pp. 297-333
Abstract In this paper, we study the change point test for the tail index of
scale-shifted processes. To this task, we propose two tests. The
first is designed via examining the discrepancy between the two
Hill estimators obtained from the observations before and after a
preliminary change point...