168
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

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

&
Pages 3289-3302 | Received 27 Jun 2012, Accepted 02 Jul 2013, Published online: 11 Aug 2015

References

  • Beirlant, J., Dierckx, G., Guillou, A., Stărică, C. (2002). On exponential representations of log spacings of order statistics. Extremes 5:157–180.
  • Bottolo, L., Consonni, G., Dellaportas, P., Lijoi, A. (2003). Bayesian analysis of extreme values by mixture modelling. Extremes 6:25–47.
  • Ciuperca, G., Mercadier, C. (2010). Semi-parametric estimation for heavy tailed distributions. Extremes 13(1):55–87.
  • Alves, I., Gomes, M.I., de Haan, L. (2003). A new class of semi-parametric estimators of the second order parameter. Portugaliae Mathematica 60:193–213.
  • Goegebeur, Y., Beirlant, J., de Wet, T. (2010). Kernel estimators for the second order parameter in extreme value statistics. J. Stat. Plan. Inf. 140:2632–2652.
  • de Haan, L., Ferreira, A. (2006). Extreme value theory: An introduction. Springer Ser. Operat. Res. Financial Eng..
  • de Haan, L., Peng, L. (1998). Comparison of tail index estimators. Statistica Neerlandica 52(1):60–70.
  • Hall, P., Welsh, A. (1985). Adaptive estimates of parameters of regular variation. Ann. Stat. 13:331–341.
  • Lu, J.C., Peng, L. (2002). Likelihood based confidence intervals for the tail index. Extremes 5:337–352.
  • Mougeot, M., Tribouley, C. (2010). Procedure of test to compare tail indices. Ann. Inst. Stat. Math. 62:383–412.
  • Owen, A. (1991). Empirical likelihood for linear models. Ann. Stat. 19(4):1725–1747.
  • de Wet, T., Goegebeur, Y., Munch, M. (2012). Asymptotically unbiased estimation of the second order tail parameter. Stat. Probab. Lett. 82:565–573.
  • Worms, J., Worms, R. (2012). Estimation of second order parameters using probability weighted moments. ESAIM Probab. Stat. 16(1):97–113.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.