AMS classifications: 62G20, 62G32;asymptotic normality;confidence intervals;Edgeworth expansions;extreme value index;Hill estimator;regular variation;tail index

Haeusler, E.

Segers, J.

English

Research Papers in Economics

A diagnostic for selecting the threshold in extreme value analysis.

A general class of estimators of the extreme value index.

A simple general approach to inference about the tail of a distribution.

Abelian and Tauberian theorems for the bias of the Hill estimator.

Asymptotic expansions of estimators for the tail index with applications.

Asymptotically unbiased” estimators of the tail index based on external estimation of the second order parameter.

Bounds on the moments of martingales.

Comparison of tail index estimators.

Conﬁdence intervals for the tail index.

Consistency of Hill’s estimator for dependent data.

Edgeworth expansions for the distribution function of the Hill estimator. Tilburg University, CentER discussion paper 2003-08, available at http://center.uvt.nl/pub/dp/.

Empirical Processes.

Generalized regular variation of second order.

Inverting an Edgeworth expansion.

Laws of large numbers for sums of extreme values.

Limit theorems for densities and asymptotic expansions of distributions of sums of independent random variables.

On asymptotic normality of Hill’s estimator for the exponent of regular variation.

On smooth statistical tail functionals.

On some simple estimates of an exponent of regular variation.

Optimal conﬁdence intervals for the tail index and high quantiles. Tinbergen Institute Discussion Paper 2004-090/2, available at http://www.tinbergen.nl.

Order Statistics (third edition).

Penultimate Approximation for Hill’s estimator.

Regular variation, extensions and Tauberian theorems.

Regular Variation.

Residual estimators.

Semiparametric lower bounds for tail index estimation.

Statistics of Extremes: Estimation and Optimality.

Sums of Independent Random Variables.

Tail index estimation for dependent data.

Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator

Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator

Abstract

Similar works

Full text

Available Versions

Research Papers in Economics