Tail prepivoting for the Hill estimator

• Type: Article in International Scientific Journal
• Date: 2016

Authors

Margarida Brito (Author) FCUP; Ana Cristina Moreira Freitas (Author) FEP; Jorge Milhazes Freitas (Author) FCUP

Journal

Title: Journal of Physics A: Mathematical and Theoretical

Vol. 49 No. 19

Final page: 194004

ISSN: 1751-8113

Publisher: Institute of Physics Publishing

Indexing

ISI Web of Knowledge - 0 Citations

Scopus - 0 Citations

Other information

Authenticus ID: P-00K-E0J

DOI: 10.1088/1751-8113/49/19/194004

Abstract (EN): 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.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 12