Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7548819 | Statistics & Probability Letters | 2018 | 14 Pages |
Abstract
We propose empirical likelihood-based statistics to construct confidence regions for the regression coefficient of the parametric tail index regression model. Our limited simulation study shows the method is more accurate than the normal approximation in terms of coverage probability.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Yaolan Ma, Yuexiang Jiang, Wei Huang,