Optimal semiparametric inference for the tail index based on ratios of the largest extremes

DOI10.1111/J.1467-842X.2008.00523.XMaRDI QIDQ2810364zbMATH OpenFDO

Authors R. Gay, D. S. Poskitt

Publication date 1 June 2016

Published in Australian \& New Zealand Journal of Statistics (Search for Journal in Brave)

zbMATH Keywords

diagnostic analysisminimum variance unbiased estimateuniformly most powerful testregularly varying taillargest order statisticsFréchet extremes

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Point estimation (62F10) Statistics of extreme values; tail inference (62G32)

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Cites work

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• A NEW CALIBRATION METHOD OF CONSTRUCTING EMPIRICAL LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR THE TAIL INDEX
• A simple general approach to inference about the tail of a distribution
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• Box–Cox transformations and heavy-tailed distributions
• Estimating a tail exponent by modelling departure from a Pareto distribution
• Estimating tails of probability distributions
• On maximum likelihood estimation of the extreme value index.
• Residual life time at great age
• Statistical inference using extreme order statistics
• Stochastic Limit Theory
• Sur la distribution limite du terme maximum d'une série aléatoire
• Tail index estimation and an exponential regression model

Cited in

(1)

• An efficient semiparametric maxima estimator of the extremal index

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