Assessing confidence intervals for the tail index by Edgeworth expansions for the Hill estimator

DOI10.3150/07-BEJ5175zbMATH Open1111.62045OpenAlexW2162349137MaRDI QIDQ880481FDOQ880481

Authors: Erich Haeusler, Johan Segers 

Publication date: 15 May 2007

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/07-bej5175

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zbMATH Keywords

asymptotic normalityconfidence intervalsextreme value indexHill estimatorregular variationtail indexEdgeworth expansions

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric tolerance and confidence regions (62G15) Statistics of extreme values; tail inference (62G32)

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• Heavy tailed durations of regional rainfall.
• Edgeworth expansion for an estimator of the adjustment coefficient
• Optimal semiparametric inference for the tail index based on ratios of the largest extremes
• Confidence intervals for the tail index
• Extreme Changes in Changes
• Adaptive confidence intervals for the tail coefficient in a wide second order class of Pareto models
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• Sample Path Large Deviations for Order Statistics
• On uniform confidence intervals for the tail index and the extreme quantile

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