On the tail index of a heavy tailed distribution

Annals of the Institute of Statistical Mathematics

Volumn 62, Issue 2, 2010, Pages 277-298

  Qi, Yongcheng ^a  

^a UNIVERSITY OF MINNESOTA DULUTH   (United States)

Author keywords

Confidence interval; Coverage probability; Edgeworth expansion; Empirical likelihood; Tail index estimation

Indexed keywords

CONFIDENCE INTERVAL; COVERAGE PROBABILITIES; EDGEWORTH EXPANSION; EMPIRICAL LIKELIHOOD; TAIL INDEX; TAIL INDEX ESTIMATION;

APPROXIMATION THEORY; ESTIMATION; PROBABILITY;

FINANCIAL DATA PROCESSING;

EID: 77950689314     PISSN: 00203157     EISSN: 15729052     Source Type: Journal    
DOI: 10.1007/s10463-008-0176-2     Document Type: Article

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