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https://hdl.handle.net/10216/89267| Author(s): | Margarida Brito Ana Cristina Moreira Freitas Jorge Milhazes Freitas |
| Title: | Tail prepivoting for the Hill estimator |
| Issue Date: | 2016 |
| Abstract: | 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. |
| DOI: | 10.1088/1751-8113/49/19/194004 |
| URI: | https://hdl.handle.net/10216/89267 |
| Document Type: | Artigo em Revista Científica Internacional |
| Rights: | openAccess |
| Appears in Collections: | FCUP - Artigo em Revista Científica Internacional FEP - Artigo em Revista Científica Internacional |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 168589.pdf | 433.41 kB | Adobe PDF |  View/Open |
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