Please use this identifier to cite or link to this item:
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. |
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 | |
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168589.pdf | 433.41 kB | Adobe PDF | View/Open |
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