A Test for Comparing Tail Indices for Heavy-Tailed Distributions via Empirical Likelihood

DOI10.1080/03610926.2013.823204zbMath1332.62166OpenAlexW2289191905MaRDI QIDQ2794796

Julien Worms, Rym Worms

Publication date: 11 March 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.823204

zbMATH Keywords

extreme valuestail indexempirical likelihoodHill estimatorcomparison test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Statistics of extreme values; tail inference (62G32) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (3)

Measuring and comparing risks of different types ⋮ Estimation of extremes for Weibull-tail distributions in the presence of random censoring ⋮ Estimation of extremes for heavy-tailed and light-tailed distributions in the presence of random censoring

Cites Work

• Asymptotically unbiased estimation of the second order tail parameter
• Semi-parametric estimation for heavy tailed distributions
• Procedure of test to compare the tail indices
• Kernel estimators for the second order parameter in extreme value statistics
• Adaptive estimates of parameters of regular variation
• Empirical likelihood for linear models
• On exponential representations of log-spacings of extreme order statistics
• Likelihood based confidence intervals for the tail index
• Bayesian analysis of extreme values by mixture modelling
• Comparison of tail index estimators
• Estimation of second order parameters using probability weighted moments

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