Optimal semiparametric inference for the tail index based on ratios of the largest extremes
DOI10.1111/J.1467-842X.2008.00523.XzbMATH Open1337.62111MaRDI QIDQ2810364FDOQ2810364
Authors: R. Gay, D. S. Poskitt 
Publication date: 1 June 2016
Published in: Australian \& New Zealand Journal of Statistics (Search for Journal in Brave)
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diagnostic analysisminimum variance unbiased estimateuniformly most powerful testregularly varying taillargest order statisticsFréchet extremes
Exact distribution theory in statistics (62E15) Point estimation (62F10) Statistics of extreme values; tail inference (62G32)
Cites Work
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- Sur la distribution limite du terme maximum d'une série aléatoire
- Estimating a tail exponent by modelling departure from a Pareto distribution
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- Assessing confidence intervals for the tail index by Edgeworth expansions for the Hill estimator
- A NEW CALIBRATION METHOD OF CONSTRUCTING EMPIRICAL LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR THE TAIL INDEX
- Box–Cox transformations and heavy-tailed distributions
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