A Test for Comparing Tail Indices for Heavy-Tailed Distributions via Empirical Likelihood
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Publication:2794796
DOI10.1080/03610926.2013.823204zbMath1332.62166OpenAlexW2289191905MaRDI QIDQ2794796
Publication date: 11 March 2016
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2013.823204
Nonparametric hypothesis testing (62G10) Statistics of extreme values; tail inference (62G32) Analysis of variance and covariance (ANOVA) (62J10)
Related Items (3)
Measuring and comparing risks of different types ⋮ Estimation of extremes for Weibull-tail distributions in the presence of random censoring ⋮ Estimation of extremes for heavy-tailed and light-tailed distributions in the presence of random censoring
Cites Work
- Asymptotically unbiased estimation of the second order tail parameter
- Semi-parametric estimation for heavy tailed distributions
- Procedure of test to compare the tail indices
- Kernel estimators for the second order parameter in extreme value statistics
- Adaptive estimates of parameters of regular variation
- Empirical likelihood for linear models
- On exponential representations of log-spacings of extreme order statistics
- Likelihood based confidence intervals for the tail index
- Bayesian analysis of extreme values by mixture modelling
- Comparison of tail index estimators
- Estimation of second order parameters using probability weighted moments
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