Likelihood based confidence intervals for the tail index

DOI10.1023/A:1025163807024zbMath1036.62041OpenAlexW172322824MaRDI QIDQ1424687

Jye-Chyi Lu, Liang Peng

Publication date: 16 March 2004

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1025163807024

zbMATH Keywords

confidence intervalstail indexnormal approximationempirical likelihood methodparametric likelihood method

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Nonparametric tolerance and confidence regions (62G15) Statistics of extreme values; tail inference (62G32) Estimation in survival analysis and censored data (62N02)

Related Items (14)

Smoothed jackknife empirical likelihood method for tail copulas ⋮ Inference of high quantiles of a heavy-tailed distribution from block data ⋮ Empirical likelihood based inference for conditional Pareto-type tail index ⋮ On the tail index of a heavy tailed distribution ⋮ The harmonic moment tail index estimator: asymptotic distribution and robustness ⋮ Confidence regions for high quantiles of a heavy tailed distribution ⋮ Empirical likelihood based confidence intervals for the tail index when \({\gamma}<-1/2\) ⋮ Empirical likelihood based confidence regions for first order parameters of heavy-tailed distribu\-tions ⋮ Asymptotic results for conditional measures of association of a random sum ⋮ A Test for Comparing Tail Indices for Heavy-Tailed Distributions via Empirical Likelihood ⋮ Bootstrap and empirical likelihood methods in extremes ⋮ Reduce computation in profile empirical likelihood method ⋮ Adjusted empirical likelihood method for the tail index of a heavy-tailed distribution ⋮ A NEW CALIBRATION METHOD OF CONSTRUCTING EMPIRICAL LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR THE TAIL INDEX

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