Assessing confidence intervals for the tail index by Edgeworth expansions for the Hill estimator

DOI10.3150/07-BEJ5175zbMath1111.62045OpenAlexW2162349137MaRDI QIDQ880481

Erich Haeusler, Johan Segers

Publication date: 15 May 2007

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/07-bej5175

zbMATH Keywords

confidence intervalsasymptotic normalityregular variationEdgeworth expansionstail indexHill estimatorextreme value index

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric tolerance and confidence regions (62G15) Statistics of extreme values; tail inference (62G32)

Related Items (5)

Heavy tailed durations of regional rainfall. ⋮ Adaptive confidence intervals for the tail coefficient in a wide second order class of Pareto models ⋮ Sample Path Large Deviations for Order Statistics ⋮ Edgeworth expansion for an estimator of the adjustment coefficient ⋮ OPTIMAL SEMIPARAMETRIC INFERENCE FOR THE TAIL INDEX BASED ON RATIOS OF THE LARGEST EXTREMES

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