Adaptive confidence intervals for the tail coefficient in a wide second order class of Pareto models

DOI10.1214/14-EJS944MaRDI QIDQ470495zbMATH OpenFDO

Authors Arlene K. H. Kim, Alexandra Carpentier

Publication date 12 November 2014

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.2968, https://projecteuclid.org/euclid.ejs/1414588187

zbMATH Keywords

confidence intervalsextreme value theoryminimax testingPareto model

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Parametric tolerance and confidence regions (62F25) Statistics of extreme values; tail inference (62G32)

Abstract: We study the problem of constructing honest and adaptive confidence intervals for the tail coefficient in the second order Pareto model, when the second order coefficient is unknown. This problem is translated into a testing problem on the second order parameter. By constructing an appropriate model and an associated test statistic, we provide a uniform and adaptive confidence interval for the first order parameter. We also provide an almost matching lower bound, which proves that the result is minimax optimal up to a logarithmic factor.

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Cited in

(3)

• Adaptive and minimax optimal estimation of the tail coefficient
• Tail index estimation, concentration and adaptivity
• On uniform confidence intervals for the tail index and the extreme quantile

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