Methods to Distinguish Between Polynomial and Exponential Tails

DOI10.1111/sjos.12037zbMath1416.62276arXiv1112.0514OpenAlexW1939432943MaRDI QIDQ5418631

Jalila Daoudi, Richard A. Lockhart, Joan del Castillo

Publication date: 26 May 2014

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.0514

zbMATH Keywords

extreme value theoryheavy tailed distributionsresidual coefficient of variationmultiple testing problempower distributions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistics of extreme values; tail inference (62G32) Reliability and life testing (62N05)

Related Items

Asymptotic analysis of generalized Greenwood statistics for very heavy tails, Likelihood inference for generalized Pareto distribution, Unnamed Item

Uses Software

• ismev
• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Test of fit for a Laplace distribution against heavier tailed alternatives
• A discussion on mean excess plots
• Estimation of the generalized Pareto distribution
• Robust directed tests of normality against heavy-tailed alternatives
• On the monotonic properties of the residual variance and their applications in reliability
• Residual life time at great age
• Statistical inference using extreme order statistics
• Residual coefficient of variation and some characterization results
• On a Class of Tests of Exponentiality
• A Simulation Analysis of the Power of Several Tests for Detecting Heavy-Tailed Distributions
• The Best Test of Exponentiality against Singly Truncated Normal Alternatives
• An introduction to statistical modeling of extreme values