Likelihood based confidence intervals for the tail index

DOI10.1023/A:1025163807024zbMath1036.62041MaRDI QIDQ1424687

Jye-Chyi Lu, Liang Peng

Publication date: 16 March 2004

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1025163807024

zbMATH Keywords

confidence intervals; tail index; normal approximation; empirical likelihood method; parametric likelihood method

Mathematics Subject Classification ID

62F25: Parametric tolerance and confidence regions

62G15: Nonparametric tolerance and confidence regions

62G32: Statistics of extreme values; tail inference

62N02: Estimation in survival analysis and censored data

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