Optimal weighted pooling for inference about the tail index and extreme quantiles

DOI10.3150/23-bej1632arXiv2111.03173MaRDI QIDQ6201851

Gilles Stupfler, Abdelaati Daouia, Simone A. Padoan

Publication date: 26 March 2024

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.03173

zbMATH Keywords

poolingextreme valuestestingheavy tailsinference

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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