Canadian Social Science
Persistence Changes Test for Heavy Tail Series in the Presence of Index Breaks
Abstract
In this paper we consider the effect of persistence change test when the series exist an index change point at the moment. It is shown that under the null hypothesis that the circumstance of the series only existed an index change point, if the heavy tail index change from large to small, the statistics is diverging at a rate of , and the larger of the is, the faster the divergence is. If the index change from small to large, the statistics converges to the bounded constant. The numerical simulation shows that no matter how the change of will lead to the size distortions, and the size distortions shows more serious when k1 > k2.
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DOI: http://dx.doi.org/10.3968/9628
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