Bootstrap confidence intervals for tail indices

Author:

Caers Jef,Beirlant Jan,Vynckier Petra

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference22 articles.

1. Exponentially decreasing distributions for the logarithm of particle size;Barndorff-Nielsen,1977

2. Normal variance-mean mixture and z-distributions;Barndorff-Nielsen;Internat. Statist. Rev.,1982

3. Tail index estimation, pareto quantile plots and regression diagnostics;Beirlant;J. Amer. Statist. Assoc.,1996

4. Excess functions and estimation of the extreme-value index;Beirlant;Bernoulli,1996

5. Valuation of primary diamond deposits by extreme value statistics;Caers;Econom. Geol.,1996

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