On the tail index of a heavy tailed distribution

DOI10.1007/s10463-008-0176-2zbMath1440.62172OpenAlexW1975527973MaRDI QIDQ904090

Yongcheng Qi

Publication date: 15 January 2016

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-008-0176-2

zbMATH Keywords

confidence intervalcoverage probabilityEdgeworth expansionempirical likelihoodtail index estimation

Mathematics Subject Classification ID

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

Related Items (15)

Heavy tail index estimation based on block order statistics ⋮ Nonparametric estimation of the conditional tail index and extreme quantiles under random censoring ⋮ Location invariant heavy tail index estimation with block method ⋮ Several modifications of DPR estimator of the tail index ⋮ Asymptotic properties of generalized DPR statistic ⋮ Distributions derived from the continuous iteration of the hyperbolic sine function ⋮ Inference of high quantiles of a heavy-tailed distribution from block data ⋮ Estimation of the tail index in the max-aggregation scheme ⋮ Optimal weighted pooling for inference about the tail index and extreme quantiles ⋮ Location invariant Weiss-Hill estimator ⋮ A class of unbiased location invariant Hill-type estimators for heavy tailed distributions ⋮ An estimator of heavy tail index through the generalized jackknife methodology ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Local-maximum-based tail index estimator ⋮ A new family of heavy tailed distributions with an application to the heavy tailed insurance loss data

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