OPTIMAL SEMIPARAMETRIC INFERENCE FOR THE TAIL INDEX BASED ON RATIOS OF THE LARGEST EXTREMES

DOI10.1111/j.1467-842X.2008.00523.xzbMath1337.62111MaRDI QIDQ2810364

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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 tailFréchet extremeslargest order statistics

Mathematics Subject Classification ID

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

Cites Work

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• Residual life time at great age
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• Estimating a tail exponent by modelling departure from a Pareto distribution
• Sur la distribution limite du terme maximum d'une série aléatoire
• A NEW CALIBRATION METHOD OF CONSTRUCTING EMPIRICAL LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR THE TAIL INDEX
• Stochastic Limit Theory
• Box–Cox transformations and heavy-tailed distributions

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