A class of tests on the tail index

DOI10.1023/A:1013925226836zbMath1008.62045OpenAlexW52185242MaRDI QIDQ1848528

Jan Picek, Jana Jureckova

Publication date: 21 November 2002

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1013925226836

zbMATH Keywords

consistencyasymptotic normalitylikelihood ratio testdomain of attractionexponential tails

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

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Heavy tailed durations of regional rainfall. ⋮ Testing the tail index in autoregressive models ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ A class of bootstrap tests on the tail index ⋮ Small Sample Robust Testing for Normality against Pareto Tails ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Estimator of the Pareto Index Based on Nonparametric Test ⋮ Estimation of heavy-tailed probability density function with applications to Web data ⋮ Review of testing issues in extremes: in honor of Professor Laurens de Haan

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