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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.
Document Type: Artigo em Revista Científica Internacional
Rights: openAccess
Appears in Collections:FCUP - Artigo em Revista Científica Internacional
FEP - Artigo em Revista Científica Internacional

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