A NEW CALIBRATION METHOD OF CONSTRUCTING EMPIRICAL LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR THE TAIL INDEX

DOI10.1111/j.1467-842X.2006.00425.xzbMath1115.62053MaRDI QIDQ3429883

Yongcheng Qi, Liang Peng

Publication date: 20 March 2007

Published in: Australian <html_ent glyph="@amp;" ascii="&amp;"/> New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-842x.2006.00425.x

zbMATH Keywords

coverage probability; normal approximation; heavy tail

Mathematics Subject Classification ID

62G15: Nonparametric tolerance and confidence regions

62G32: Statistics of extreme values; tail inference

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Cites Work

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• Estimating the First- and Second-Order Parameters of a Heavy-Tailed Distribution