Empirical likelihood based confidence intervals for the tail index when \({\gamma}<-1/2\)
From MaRDI portal
Publication:2444391
DOI10.1016/j.spl.2013.10.001zbMath1288.62072MaRDI QIDQ2444391
Publication date: 9 April 2014
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2013.10.001
62E20: Asymptotic distribution theory in statistics
62P10: Applications of statistics to biology and medical sciences; meta analysis
62G05: Nonparametric estimation
62G15: Nonparametric tolerance and confidence regions
62G32: Statistics of extreme values; tail inference
Related Items
Cites Work
- Unnamed Item
- Empirical likelihood based confidence regions for first order parameters of heavy-tailed distribu\-tions
- Empirical likelihood ratio confidence regions
- A moment estimator for the index of an extreme-value distribution
- Kernel estimates of the tail index of a distribution
- Estimating tails of probability distributions
- Empirical likelihood for linear models
- A simple general approach to inference about the tail of a distribution
- Asymptotic normality of least-squares estimators of tail indices
- Likelihood based confidence intervals for the tail index
- Tail index estimation and an exponential regression model
- Empirical likelihood confidence intervals for the endpoint of a distribution function
- On maximum likelihood estimation of the extreme value index.
- Interval estimation of the tail index of a GARCH(1,1) model
- Maximum likelihood estimation of extreme value index for irregular cases
- Some Best Parameter Estimates for Distributions with Finite Endpoint
- A NEW CALIBRATION METHOD OF CONSTRUCTING EMPIRICAL LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR THE TAIL INDEX
- Empirical likelihood ratio confidence intervals for a single functional
- On Smooth Statistical Tail Functionals
- On the maximal life span of humans
