A class of bootstrap tests on the tail index

DOI10.1080/03610918.2021.1890772OpenAlexW3136558828MaRDI QIDQ6172127

Eun-Ju Hwang

Publication date: 18 July 2023

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2021.1890772

zbMATH Keywords

tail indexempirical distribution functionsubsamplingbootstrap test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32) Bootstrap, jackknife and other resampling methods (62F40)

Cites Work

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• The bootstrap of the mean with arbitrary bootstrap sample size
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• A simple general approach to inference about the tail of a distribution
• On the bootstrap of the sample mean in the infinite variance case
• Limit distributions for linear programming time series estimators
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• A class of tests on the tail index
• Large sample confidence regions based on subsamples under minimal assumptions
• On testing the extreme value index via the POT-method
• Structural Change Tests in Tail Behaviour and the Asian Crisis
• A PARAMETRIC BOOTSTRAP FOR HEAVY-TAILED DISTRIBUTIONS
• CHANGE POINT TESTS FOR THE TAIL INDEX OFβ-MIXING RANDOM VARIABLES
• Subsampling inference for the mean in the heavy-tailed case.

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