A NEW CALIBRATION METHOD OF CONSTRUCTING EMPIRICAL LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR THE TAIL INDEX
From MaRDI portal
Publication:3429883
DOI10.1111/j.1467-842X.2006.00425.xzbMath1115.62053MaRDI QIDQ3429883
Publication date: 20 March 2007
Published in: Australian <html_ent glyph="@amp;" ascii="&"/> 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
62G15: Nonparametric tolerance and confidence regions
62G32: Statistics of extreme values; tail inference
Related Items
A practical method for analysing heavy tailed data, Inference of high quantiles of a heavy-tailed distribution from block data, Empirical likelihood based confidence regions for first order parameters of heavy-tailed distribu\-tions, Smoothed jackknife empirical likelihood method for tail copulas, Asymptotic normality of location invariant heavy tail index estimator, On the tail index of a heavy tailed distribution, Location invariant Weiss-Hill estimator, Bootstrap and empirical likelihood methods in extremes, Empirical likelihood based inference for conditional Pareto-type tail index, A class of unbiased location invariant Hill-type estimators for heavy tailed distributions, Empirical likelihood based confidence intervals for the tail index when \({\gamma}<-1/2\), Random Weighting Estimation of Confidence Intervals for Quantiles, OPTIMAL SEMIPARAMETRIC INFERENCE FOR THE TAIL INDEX BASED ON RATIOS OF THE LARGEST EXTREMES, Reduce computation in profile empirical likelihood method
Cites Work
- Unnamed Item
- Unnamed Item
- Likelihood based confidence intervals for the tail index
- A new method of calibration for the empirical loglikelihood ratio
- Penultimate Approximation for Hill's Estimator
- Comparison of tail index estimators
- Estimating the First- and Second-Order Parameters of a Heavy-Tailed Distribution