About: Testing the tail index in autoregressive models

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	We propose a class of nonparametric tests on the Pareto tail index of the innovation distribution in the linear autoregressive model. The simulation study illustrates a good performance of the tests. Such tests have various applications in a study of flood flows, rainflow data, behavior of solids, atmospheric ozone layer and reliability analysis, in communication engineering, in stock markets and insurance. We propose a class of nonparametric tests on the Pareto tail index of the innovation distribution in the linear autoregressive model. The simulation study illustrates a good performance of the tests. Such tests have various applications in a study of flood flows, rainflow data, behavior of solids, atmospheric ozone layer and reliability analysis, in communication engineering, in stock markets and insurance. (en)
Title	Testing the tail index in autoregressive models Testing the tail index in autoregressive models (en)
skos:prefLabel	Testing the tail index in autoregressive models Testing the tail index in autoregressive models (en)
skos:notation	RIV/00216208:11320/09:00207273!RIV10-GA0-11320___
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(GA201/05/2340), P(LC06024)
http://linked.open...iv/cisloPeriodika	3
http://linked.open...vai/riv/dodaniDat	2010
http://linked.open...aciTvurceVysledku	Jurečková, Jana
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Matematicko-fyzikální fakulta
http://linked.open...dnocenehoVysledku	346031
http://linked.open...ai/riv/idVysledku	RIV/00216208:11320/09:00207273
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Testing; index; autoregressive; models (en)
http://linked.open.../riv/klicoveSlovo	Testing models index autoregressive
http://linked.open...odStatuVydavatele	JP - Japonsko
http://linked.open...ontrolniKodProRIV	[894B8B25BADA]
http://linked.open...i/riv/nazevZdroje	Annals of the Institute of Statistical Mathematics
http://linked.open...in/vavai/riv/obor	BA
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...vavai/riv/projekt	Jaroslav Hájek Center for Theoretical and Applied Statistics Nontraditional statistical procedures in econometrics
http://linked.open...UplatneniVysledku	2009
http://linked.open...v/svazekPeriodika	61
http://linked.open...iv/tvurceVysledku	Jurečková, Jana Picek, Jan Koul, Hira L.
http://linked.open...ain/vavai/riv/wos	000268509800003
issn	0020-3157
number of pages	20 (xsd:int)
http://localhost/t...ganizacniJednotka	11320

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