Empirical likelihood based confidence regions for first order parameters of heavy-tailed distribu\-tions

DOI10.1016/j.jspi.2011.03.002zbMath1213.62080arXiv1008.3229MaRDI QIDQ538133

Julien Worms, Rym Worms

Publication date: 23 May 2011

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.3229

zbMATH Keywords

extreme values; confidence regions; empirical likelihood; generalized Pareto distribu\-tion; profile empirical likelihood

Mathematics Subject Classification ID

62G05: Nonparametric estimation

62G15: Nonparametric tolerance and confidence regions

62G32: Statistics of extreme values; tail inference

Related Items

GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference, Empirical likelihood based inference for conditional Pareto-type tail index, Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors, The harmonic moment tail index estimator: asymptotic distribution and robustness, Empirical likelihood based confidence intervals for the tail index when \({\gamma}<-1/2\)

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