A NEW CALIBRATION METHOD OF CONSTRUCTING EMPIRICAL LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR THE TAIL INDEX
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Publication:3429883
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Cites work
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- A new method of calibration for the empirical loglikelihood ratio
- Comparison of tail index estimators
- Empirical likelihood
- 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)- A practical method for analysing heavy tailed data
- Optimal semiparametric inference for the tail index based on ratios of the largest extremes
- Empirical likelihood based inference for conditional Pareto-type tail index
- Location invariant Weiss-Hill estimator
- Empirical likelihood based confidence intervals for the tail index when \({\gamma}<-1/2\)
- Likelihood based confidence intervals for the tail index
- Reduce computation in profile empirical likelihood method
- Empirical likelihood based confidence regions for first order parameters of heavy-tailed distribu\-tions
- Asymptotic normality of location invariant heavy tail index estimator
- A new method of calibration for the empirical loglikelihood ratio
- Random weighting estimation of confidence intervals for quantiles
- Adjusted empirical likelihood method for the tail index of a heavy-tailed distribution
- Bootstrap and empirical likelihood methods in extremes
- Smoothed jackknife empirical likelihood method for tail copulas
- On the tail index of a heavy tailed distribution
- A small sample calibration method for the empirical likelihood ratio
- Inference of high quantiles of a heavy-tailed distribution from block data
- A class of unbiased location invariant Hill-type estimators for heavy tailed distributions
- On uniform confidence intervals for the tail index and the extreme quantile
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