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面板数据方差变化的一致且有力的CUSUM变点检验AI 解读

This paper investigates change-point of variance in panel data models with time series of $α$-mixing. Based on the cumulative sum (CUSUM) method and the individual differences, we construct a CUSUM test for panel data models to detect variance changes. Under the null hypothesis, we derive the limit distribution of this test, which can be used to detect the change-point of variance. Under the alternative hypothesis, the limit behavior of the CUSUM test is also derived. To…

极端尾部关联的度量AI 解读

Simultaneous occurrences of extreme events need not imply symmetric or reciprocal tail dependence. However, most existing measures of extremal dependence are inherently symmetric and hence often fail to capture directional influence in tail association. We introduce a rank-based measure of Extreme Tail Association (ETA) for bivariate data quantifying such directional influence of one variable on another in extreme tail regions. The proposed estimator is easily computable,…