Confidence intervals for the tail index

By Shihong Cheng, Liang Peng. 2001

56 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/e3c492bfdd8d5bbcc1a3ef830d735842ddbd5a4f

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In Finance

1. Milan Stehlík
2. Dieter Schell
3. Jan Beran
4. Yuanhua Feng

In Statistics and Probability

1. Milan Stehlík
2. Dieter Schell
3. Jan Beran
4. Yuanhua Feng

Citations in the corpus

• The harmonic moment tail index estimator: asymptotic distribution and robustness (2014, methodology): “Remark 6 (Comments on confidence intervals) Confidence intervals based on Theorems 2 and 3 can be obtained in an analogous manner as for Hill’s estimator (see e.g. Ferreira and de Vries 2004; Cheng and Peng 2001; Lu and Peng 2002; Qi 2008; Worms and Worms 2011, and references therein).”