Change point test for tail index of scale-shifted processes

Abstract

In this paper, we study the change point test for the tail index of scaleshifted processes. To this task, we propose two tests. The rst is designed via examining the discrepancy between the two Hill estimators obtained from the observations before and after a preliminary change point estimate. The second is a modi ed recursive test which uses scale-adjusted observations. Both methods produce a tail index estimator that outperforms the Hill estimator. A simulation study and real data analysis are provided for illustration.