A new calibration method of constructing empirical likelihood-based confidence intervals for the tail index

Australian and New Zealand Journal of Statistics

Volumn 48, Issue 1, 2006, Pages 59-66

  Peng, Liang ^a   Qi, Yongcheng ^b  

^a GEORGIA INSTITUTE OF TECHNOLOGY   (United States)

^b UNIVERSITY OF MINNESOTA DULUTH   (United States)

Author keywords

Coverage probability; Empirical likelihood method; Heavy tail; Normal approximation

Indexed keywords

EID: 33645030748     PISSN: 13691473     EISSN: 1467842X     Source Type: Journal    
DOI: 10.1111/j.1467-842X.2006.00425.x     Document Type: Article

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