A tail bootstrap procedure for estimating the tail Pareto-index
From MaRDI portal
Publication:1299448
DOI10.1016/S0378-3758(98)00011-1zbMath0961.62047MaRDI QIDQ1299448
Jean-Noel Bacro, Margarida Brito
Publication date: 5 June 2001
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32) Nonparametric statistical resampling methods (62G09)
Related Items (6)
Regenerative block-bootstrap confidence intervals for tail and extremal indexes ⋮ Limiting behaviour of a geometric-type estimator for tail indices. ⋮ Simple tail index estimation for dependent and heterogeneous data with missing values ⋮ Edgeworth expansion for an estimator of the adjustment coefficient ⋮ Weak convergence of a bootstrap geometric-type estimator with applications to risk theory ⋮ Bootstrap and empirical likelihood methods in extremes
Cites Work
- Bootstrapping empirical functions
- Kernel estimates of the tail index of a distribution
- On asymptotic normality of Hill's estimator for the exponent of regular variation
- Some asymptotic theory for the bootstrap
- Approximate distributions of order statistics. With applications to nonparametric statistics
- Some results on the influence of extremes on the bootstrap
- Bootstrap methods: another look at the jackknife
- Weak convergence of smoothed and nonsmoothed bootstrap quantile estimates
- Weak limiting behaviour of a simple tail Pareto-index estimator
- Estimation of the tail parameter in the domain of attraction of an extremal distribution
- Bootstrap Inference for a First-Order Autoregression with Positive Innovations
- Asymptotic theory for bootstrapping the extremes
- A note on proving that the (modified) bootstrap works
- Almost sure convergence of the Hill estimator
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: A tail bootstrap procedure for estimating the tail Pareto-index
