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Empirical likelihood based inference for conditional Pareto-type tail index

Article ID Journal Published Year Pages File Type
7548819 Statistics & Probability Letters 2018 14 Pages PDF
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
Pareto-type distributionEstimating equationsEmpirical likelihoodTail indexConfidence regions
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Empirical likelihood based inference for conditional Pareto-type tail index
Authors
Yaolan Ma, Yuexiang Jiang, Wei Huang,
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Journal
Statistics & Probability Letters
Journal: Statistics & Probability Letters
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Pareto-type distribution
Estimating equations
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