Bootstrap confidence intervals for tail indices.

DOI10.1016/S0167-9473(97)00033-9MaRDI QIDQ1128451zbMATH OpenOpenAlexFDO

Authors Jef Caers, J. Beirlant, Petra Vynckier

Publication date 13 August 1998

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-9473(97)00033-9

zbMATH Keywords

Bootstrap confidence intervalsExtreme value indexExtreme value theoryPareto index

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Statistics of extreme values; tail inference (62G32)

Recommendations

• Nonparametric tail estimation using a double bootstrap method.
• Bootstrap and empirical likelihood methods in extremes
• Confidence intervals for the tail index
• The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction

Cites work

• A moment estimator for the index of an extreme-value distribution
• A simple general approach to inference about the tail of a distribution
• Adaptive estimates of parameters of regular variation
• Better Bootstrap Confidence Intervals
• Estimating tails of probability distributions
• 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
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• Kernel estimates of the tail index of a distribution
• Normal Variance-Mean Mixtures and z Distributions
• Statistical inference using extreme order statistics
• Sur la distribution limite du terme maximum d'une série aléatoire
• Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
• Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems

Cited in

(13)

• Nonparametric tail estimation using a double bootstrap method.
• The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
• Regenerative block-bootstrap confidence intervals for tail and extremal indexes
• A comparative study of the adaptive choice of thresholds in extreme hydrologic events
• Nonlinear dynamics and intermittency in a long-term copepod time series
• Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling
• Abelian and Tauberian Theorems on the Bias of the Hill Estimator
• Bootstrap confidence intervals for the pareto index
• scientific article; zbMATH DE number 1538084 (Why is no real title available?)
• Using a bootstrap method to choose the sample fraction in tail index estimation
• Confidence intervals for the tail index
• Flexible extreme value inference
• Leader nodes in communities for information spreading

Describes a project that uses

Uses Software

• bootstrap

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