Empirical-likelihood-based confidence interval for the mean with a heavy-tailed distribution.

DOI10.1214/009053604000000328zbMath1091.62038arXivmath/0406523OpenAlexW3099931092MaRDI QIDQ1879934

Liang Peng

Publication date: 15 September 2004

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0406523

zbMATH Keywords

tablessimulationstail indexstable lawnormal approximationheavy tailHill estimatorempirical likelihood method

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Nonparametric tolerance and confidence regions (62G15) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Related Items

Bayesian inference for extreme quantiles of heavy tailed distributions, ESTIMATION AND INFERENCE FOR MOMENTS OF RATIOS WITH ROBUSTNESS AGAINST LARGE TRIMMING BIAS, Haezendonck-Goovaerts risk measure with a heavy tailed loss, Estimating conditional means with heavy tails, Robust confidence regions for the semi-parametric regression model with responses missing at random, Estimating L-functionals for heavy-tailed distributions and application, Distributed estimation with empirical likelihood, Semi-parametric rank regression with missing responses, GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference, Empirical likelihood for generalized linear models with missing responses, Confidence regions for high quantiles of a heavy tailed distribution, Empirical likelihood-based robust tests for genetic association analysis with quantitative traits, The signed-rank estimator for nonlinear regression with responses missing at random, Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors, Bootstrap and empirical likelihood methods in extremes, Empirical Likelihood Confidence Intervals for Response Mean with Data Missing at Random, Reduce computation in profile empirical likelihood method, Empirical likelihood for linear models with missing responses, Inference for the Mean Residual Life Function via Empirical Likelihood, Comment: unreasonable effectiveness of Monte Carlo

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Empirical likelihood ratio confidence regions
• Weighted empirical and quantile processes
• Adaptive estimates of parameters of regular variation
• The asymptotic distribution of trimmed sums
• A simple general approach to inference about the tail of a distribution
• Smoothed empirical likelihood confidence intervals for quantiles
• On bootstrap estimation of the distribution of the Studentized mean
• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• Estimating a tail exponent by modelling departure from a Pareto distribution
• Empirical likelihood is Bartlett-correctable
• Methodology and Algorithms of Empirical Likelihood
• Central limit theorems for sums of extreme values
• Empirical likelihood ratio confidence intervals for a single functional
• Comparison of tail index estimators
• Estimating the mean of a heavy tailed distribution