A NEW CALIBRATION METHOD OF CONSTRUCTING EMPIRICAL LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR THE TAIL INDEX

DOI10.1111/j.1467-842X.2006.00425.xzbMath1115.62053OpenAlexW2118638894MaRDI QIDQ3429883

Yongcheng Qi, Liang Peng

Publication date: 20 March 2007

Published in: Australian <html_ent glyph="@amp;" ascii="&amp;"/> 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

zbMATH Keywords

coverage probabilitynormal approximationheavy tail

Mathematics Subject Classification ID

Nonparametric tolerance and confidence regions (62G15) Statistics of extreme values; tail inference (62G32)

Related Items (14)

Smoothed jackknife empirical likelihood method for tail copulas ⋮ Inference of high quantiles of a heavy-tailed distribution from block data ⋮ Empirical likelihood based inference for conditional Pareto-type tail index ⋮ On the tail index of a heavy tailed distribution ⋮ Location invariant Weiss-Hill estimator ⋮ A class of unbiased location invariant Hill-type estimators for heavy tailed distributions ⋮ Empirical likelihood based confidence intervals for the tail index when \({\gamma}<-1/2\) ⋮ Asymptotic normality of location invariant heavy tail index estimator ⋮ Empirical likelihood based confidence regions for first order parameters of heavy-tailed distribu\-tions ⋮ A practical method for analysing heavy tailed data ⋮ Random Weighting Estimation of Confidence Intervals for Quantiles ⋮ Bootstrap and empirical likelihood methods in extremes ⋮ OPTIMAL SEMIPARAMETRIC INFERENCE FOR THE TAIL INDEX BASED ON RATIOS OF THE LARGEST EXTREMES ⋮ Reduce computation in profile empirical likelihood method

Cites Work

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• Likelihood based confidence intervals for the tail index
• A new method of calibration for the empirical loglikelihood ratio
• Penultimate Approximation for Hill's Estimator
• Comparison of tail index estimators
• Estimating the First- and Second-Order Parameters of a Heavy-Tailed Distribution

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