Procedure of test to compare the tail indices

DOI10.1007/s10463-008-0198-9zbMath1440.62170OpenAlexW2093956901MaRDI QIDQ904096

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

Related Items

A Test for Comparing Tail Indices for Heavy-Tailed Distributions via Empirical Likelihood

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