On uniform confidence intervals for the tail index and the extreme quantile
From MaRDI portal
Publication:6664639
Cites work
- scientific article; zbMATH DE number 3824949 (Why is no real title available?)
- scientific article; zbMATH DE number 5492169 (Why is no real title available?)
- A Bias Bound Approach to Non-parametric Inference
- A NEW CALIBRATION METHOD OF CONSTRUCTING EMPIRICAL LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR THE TAIL INDEX
- A Simple Adjustment for Bandwidth Snooping
- A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
- A diagnostic for selecting the threshold in extreme value analysis
- A general class of estimators of the extreme value index
- A heuristic adaptive choice of the threshold for bias-corrected Hill estimators
- A review of more than one hundred Pareto-tail index estimators
- A simple general approach to inference about the tail of a distribution
- A simple second-order reduced bias’ tail index estimator
- Adaptive and minimax optimal estimation of the tail coefficient
- Adaptive confidence bands
- Adaptive confidence intervals for the tail coefficient in a wide second order class of Pareto models
- Adaptive confidence sets in \(L^2\)
- Adaptive estimates of parameters of regular variation
- An adaptation theory for nonparametric confidence intervals
- Are there common values in first-price auctions? A tail-index nonparametric test
- Assessing confidence intervals for the tail index by Edgeworth expansions for the Hill estimator
- Bias correction in extreme value statistics with index around zero
- Confidence intervals for the tail index
- Estimating tails of probability distributions
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- Extreme quantile estimation for dependent data, with applications to finance
- Extreme value theory. An introduction.
- Honest and adaptive confidence sets in \(L_p\)
- Honest confidence regions for nonparametric regression
- Honest confidence sets in nonparametric IV regression and other ill-posed models
- How to make a Hill plot.
- Improved reduced-bias tail index and quantile estimators
- Likelihood based confidence intervals for the tail index
- Minimax risk bounds in extreme value theory
- Model-Assisted Uniformly Honest Inference for Optimal Treatment Regimes in High Dimension
- ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
- On Smooth Statistical Tail Functionals
- On adaptive inference and confidence bands
- On asymptotically optimal confidence regions and tests for high-dimensional models
- On nonparametric confidence intervals
- On tail index estimation using dependent data
- Optimal Inference in a Class of Regression Models
- Rank -1/2: a simple way to improve the OLS estimation of tail exponents
- SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
- Simple and honest confidence intervals in nonparametric regression
- Statistical inference using extreme order statistics
- Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
- Tail Index Estimation for a Filtered Dependent Time Series
- Tail index estimation for dependent data
- Volatility regressions with fat tails
- Weak convergence of the tail empirical process for dependent sequences
This page was built for publication: On uniform confidence intervals for the tail index and the extreme quantile
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6664639)