Confidence regions for high quantiles of a heavy tailed distribution

DOI10.1214/009053606000000416zbMath1246.62125arXivmath/0611278OpenAlexW3099948353MaRDI QIDQ449958

Liang Peng, Yongcheng Qi

Publication date: 3 September 2012

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0611278

zbMATH Keywords

empirical likelihood methoddata tilting

Mathematics Subject Classification ID

Nonparametric tolerance and confidence regions (62G15) Statistics of extreme values; tail inference (62G32)

Related Items (17)

Bayesian inference for extreme quantiles of heavy tailed distributions ⋮ Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations ⋮ Tilting Methods for Assessing the Influence of Components in a Classifier ⋮ Nonparametric estimation of operational value-at-risk (OpVaR) ⋮ Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness ⋮ Statistical inference for conditional quantiles in nonlinear time series models ⋮ Smoothed jackknife empirical likelihood method for tail copulas ⋮ Inference of high quantiles of a heavy-tailed distribution from block data ⋮ Empirical likelihood inference for Haezendonck-Goovaerts risk measure ⋮ On the tail index of a heavy tailed distribution ⋮ Location invariant Weiss-Hill estimator ⋮ A class of unbiased location invariant Hill-type estimators for heavy tailed distributions ⋮ Asymptotic normality of location invariant heavy tail index estimator ⋮ Simultaneous confidence bands for time-series prediction function ⋮ Bootstrap and empirical likelihood methods in extremes ⋮ Reduce computation in profile empirical likelihood method ⋮ Assessing the performance of confidence intervals for high quantiles of Burr XII and Inverse Burr mixtures

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