Procedure of test to compare the tail indices

DOI10.1007/S10463-008-0198-9zbMATH Open1440.62170OpenAlexW2093956901MaRDI QIDQ904096FDOQ904096

Authors: Mathilde Mougeot, Karine Tribouley 

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/s10463-008-0198-9

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zbMATH Keywords

extreme value indexnonparametric testminimax rates

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Title not available (Why is that?)
• Adaptive estimates of parameters of regular variation
• A simple general approach to inference about the tail of a distribution
• ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
• A new class of semi-parametric estimators of the second order parameter.
• Title not available (Why is that?)
• Comparison of tail index estimators
• A moment estimator for the index of an extreme-value distribution
• Asymptotically minimax hypothesis testing for nonparametric alternatives. I
• Nonparametric homogeneity tests
• Approximations to the tail empirical distribution function with application to testing extreme value conditions

Cited In (2)

• A test for comparing tail indices for heavy-tailed distributions via empirical likelihood
• Non-parametric tests for the tail equivalence via empirical likelihood

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