Methods to Distinguish Between Polynomial and Exponential Tails. (2nd January 2014)

• Record Type: Journal Article
• Authors: Castillo, Joan Del; Daoudi, Jalila; Lockhart, Richard
• Is Part Of: Scandinavian journal of statistics. Volume 41:Number 2(2014:Jun.)
• Page Start: 382
• Page End: 393
• Publication Date: 2014-01-02
• Subjects: Statistics -- Periodicals; 310
• DOI: 10.1111/sjos.12037
• Languages: English
• ISSNs: 0303-6898

Abstract

<abstract abstract-type="main" id="sjos12037-abs-0001"> <title>Abstract</title> <p id="sjos12037-para-0001">Two methods to distinguish between polynomial and exponential tails are introduced. The methods are based on the properties of the residual coefficient of variation for the exponential and non‐exponential distributions. A graphical method, called a CV‐plot, shows departures from exponentiality in the tails. The plot is applied to the daily log‐returns of exchange rates of US dollar and Japanese yen. New statistics are introduced for testing the exponentiality of tails using multiple thresholds. They give better control of the significance level than previous tests. The powers of the new tests are compared with those of some others for various sample sizes.</p> </abstract>