Adaptive confidence intervals for the tail coefficient in a wide second order class of Pareto models
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Publication:470495
DOI10.1214/14-EJS944zbMATH Open1305.62198arXiv1312.2968MaRDI QIDQ470495FDOQ470495
Authors: Arlene K. H. Kim, Alexandra Carpentier 
Publication date: 12 November 2014
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1312.2968
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Nonparametric hypothesis testing (62G10) Parametric tolerance and confidence regions (62F25) Statistics of extreme values; tail inference (62G32)
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