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On uniform confidence intervals for the tail index and the extreme quantile - MaRDI portal

On uniform confidence intervals for the tail index and the extreme quantile

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Publication:6664639

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DOI10.1016/j.jeconom.2024.105865MaRDI QIDQ6664639

Yu-Long Wang, Yuya Sasaki

Publication date: 16 January 2025

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

tail index uniform inference impossibility extreme quantile honest confidence interval

Mathematics Subject Classification ID

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

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