Procedure of test to compare the tail indices

DOI10.1007/S10463-008-0198-9MaRDI QIDQ904096zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 5604036 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• A moment estimator for the index of an extreme-value distribution
• A new class of semi-parametric estimators of the second order parameter.
• A simple general approach to inference about the tail of a distribution
• Adaptive estimates of parameters of regular variation
• Approximations to the tail empirical distribution function with application to testing extreme value conditions
• Asymptotically minimax hypothesis testing for nonparametric alternatives. I
• Comparison of tail index estimators
• Nonparametric homogeneity tests
• ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter

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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