Confidence intervals and accuracy estimation for heavy-tailed generalized Pareto distributions

DOI10.1023/B:EXTR.0000025662.09067.3BzbMath1063.62037OpenAlexW1974992008MaRDI QIDQ1775993

Nader Tajvidi

Publication date: 20 May 2005

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:extr.0000025662.09067.3b

zbMATH Keywords

bootstrapquantileBartlett correctionprofile likelihoodsmall sample propertieslikelihood ratio confidence intervalLawley correction

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Bootstrap, jackknife and other resampling methods (62F40)

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