Bootstrap confidence intervals for tail indices.

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)

zbMATH Keywords

Extreme value theory; Extreme value index; Pareto index; Bootstrap confidence intervals

Mathematics Subject Classification ID

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

• bootstrap

Cites Work

• Unnamed Item
• Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
• A moment estimator for the index of an extreme-value distribution
• Kernel estimates of the tail index of a distribution
• Adaptive estimates of parameters of regular variation
• Estimating tails of probability distributions
• 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