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...

In this paper, we consider the problem of testing for parameter changes in time series models based on a moving estimates (ME) test. It is widely accepted that detecting some changes, for instance, those caused by temporary parameter shifts by the existing cusum test is difficult. A MV test with...

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...

In this paper, we consider the problem of testing for a parameter change in stochastic processes. In performing a test, we employ the cusum test considered in Lee et al. (Scand. J. Statist. 30 (2003) 651). The cusum test is based on the conditional least-squares estimator introduced by Klimko...

In this paper, we propose a goodness of fit test for continuous time stochastic volatility models based on discretely sampled observations. The proposed test is constructed by measuring deviations between the empirical and true characteristic functions obtained from the hypothesized stochastic...