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To test for the constancy of tail index, Quintos et al. (Rev Econ Stud 68:633–663, 2001) proposed three types of change point tests for independent and ARCH type sequences. In this paper, we demonstrate that their tests can be successfully extended to a large class of dependent stationary sequences. Further, we designate a time-reverse version of those tests since the original tests produce very low...
In this paper, we study a robust and efficient estimation procedure for the order of finite mixture models based on the minimizing a penalized density power divergence estimator. For this task, we use the locally conic parametrization approach developed by Dacunha-Castelle and Gassiate (ESAIM Probab Stat 285–317, 1997a; Ann Stat 27:1178–1209, 1999), and verify that the minimizing a penalized density...
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