Tail prepivoting for the Hill estimator

被引：0

作者：

Brito, Margarida ^{[1
,2
]}

Moreira Freitas, Ana Cristina ^{[3
,4
]}

Freitas, Jorge Milhazes ^{[5
]}

机构：

[1] Univ Porto, Ctr Matemat, Fac Ciencias, Rua Campo Alegre 687, P-4169007 Oporto, Portugal

[2] Univ Porto, Dept Matemat, Fac Ciencias, Rua Campo Alegre 687, P-4169007 Oporto, Portugal

[3] Univ Porto, Ctr Matemat, Rua Dr Roberto Frias, P-4200464 Oporto, Portugal

[4] Univ Porto, Fac Econ, Rua Dr Roberto Frias, P-4200464 Oporto, Portugal

[5] Univ Porto, Ctr Matemat, Rua Campo Alegre 687, P-4169007 Oporto, Portugal

来源：

JOURNAL OF PHYSICS A-MATHEMATICAL AND THEORETICAL | 2016年 / 49卷 / 19期

基金：

巴西圣保罗研究基金会;

关键词：

bootstrap; parameter estimation; prepivoting; tail index; ADJUSTMENT COEFFICIENT; REGULAR VARIATION; RISK THEORY; BOOTSTRAP; CONVERGENCE; STATISTICS; EXPONENT;

D O I：

10.1088/1751-8113/49/19/194004

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

It is well known that prepivoting reduces level error of confidence sets. We adapt this method to the context of the tail index estimation, introducing a procedure that we call tail prepivoting. We apply this procedure to the Hill estimator and establish its consistency.

引用

页数：12

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