Tail prepivoting for the Hill estimator

DOI10.1088/1751-8113/49/19/194004MaRDI QIDQ2991883zbMATH OpenOpenAlexFDO

Authors Margarida Brito, Ana Cristina Moreira Freitas, Jorge Milhazes Freitas

Publication date 10 August 2016

Published in Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL https://repositorio-aberto.up.pt/handle/10216/89267

zbMATH Keywords

bootstrapparameter estimationtail indexprepivoting

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30)

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Cited in

(1)

• Prepivoting to reduce level error of confidence sets

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