Confidence intervals for the tail index

DOI10.2307/3318540zbMath0985.62039OpenAlexW1976712456MaRDI QIDQ5950043

Liang Peng, Shi Hong Cheng

Publication date: 23 May 2002

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1079399540

zbMATH Keywords

confidence intervalstail indexcoverage accuracyHill estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric tolerance and confidence regions (62F25) Nonparametric tolerance and confidence regions (62G15) Statistics of extreme values; tail inference (62G32)

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