A NEW CALIBRATION METHOD OF CONSTRUCTING EMPIRICAL LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR THE TAIL INDEX
DOI10.1111/J.1467-842X.2006.00425.XzbMATH Open1115.62053OpenAlexW2118638894MaRDI QIDQ3429883FDOQ3429883
Authors: Yongcheng Qi, Liang Peng 
Publication date: 20 March 2007
Published in: Australian <html_ent glyph="@amp;" ascii="&"/> New Zealand Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-842x.2006.00425.x
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Cites Work
- Empirical likelihood
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- Comparison of tail index estimators
- A new method of calibration for the empirical loglikelihood ratio
- Estimating the First- and Second-Order Parameters of a Heavy-Tailed Distribution
- Likelihood based confidence intervals for the tail index
- Penultimate approximation for Hill's estimator
Cited In (19)
- Empirical likelihood based confidence intervals for the tail index when \({\gamma}<-1/2\)
- Random weighting estimation of confidence intervals for quantiles
- Smoothed jackknife empirical likelihood method for tail copulas
- On the tail index of a heavy tailed distribution
- A class of unbiased location invariant Hill-type estimators for heavy tailed distributions
- Adjusted empirical likelihood method for the tail index of a heavy-tailed distribution
- A new method of calibration for the empirical loglikelihood ratio
- Optimal semiparametric inference for the tail index based on ratios of the largest extremes
- Empirical likelihood based confidence regions for first order parameters of heavy-tailed distribu\-tions
- Location invariant Weiss-Hill estimator
- Likelihood based confidence intervals for the tail index
- Bootstrap and empirical likelihood methods in extremes
- Asymptotic normality of location invariant heavy tail index estimator
- A practical method for analysing heavy tailed data
- Empirical likelihood based inference for conditional Pareto-type tail index
- On uniform confidence intervals for the tail index and the extreme quantile
- Reduce computation in profile empirical likelihood method
- A small sample calibration method for the empirical likelihood ratio
- Inference of high quantiles of a heavy-tailed distribution from block data
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