Bootstrap confidence intervals for tail indices.
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Publication:1128451
DOI10.1016/S0167-9473(97)00033-9zbMath1042.62541MaRDI QIDQ1128451
Jan Beirlant, Jef Caers, Petra Vynckier
Publication date: 13 August 1998
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
62G32: Statistics of extreme values; tail inference
62G09: Nonparametric statistical resampling methods
Related Items
Abelian and Tauberian Theorems on the Bias of the Hill Estimator, Bootstrap confidence intervals for the pareto index, Nonparametric tail estimation using a double bootstrap method., Nonlinear dynamics and intermittency in a long-term copepod time series, Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling
Uses Software
Cites Work
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- Adaptive estimates of parameters of regular variation
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- Statistical inference using extreme order statistics
- A simple general approach to inference about the tail of a distribution
- Excess functions and estimation of the extreme-value index
- Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
- Sur la distribution limite du terme maximum d'une série aléatoire
- Better Bootstrap Confidence Intervals
- Normal Variance-Mean Mixtures and z Distributions
- Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics