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

DOI10.3150/07-BEJ5175MaRDI QIDQ880481zbMATHOpenAlexFDO

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

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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• Optimal semiparametric inference for the tail index based on ratios of the largest extremes
• Heavy tailed durations of regional rainfall.
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• On uniform confidence intervals for the tail index and the extreme quantile
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