Tail prepivoting for the Hill estimator

Please use this identifier to cite or link to this item: https://hdl.handle.net/10216/89267

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DC Field	Value	Language
dc.creator	Margarida Brito
dc.creator	Ana Cristina Moreira Freitas
dc.creator	Jorge Milhazes Freitas
dc.date.accessioned	2022-09-08T15:57:37Z	-
dc.date.available	2022-09-08T15:57:37Z	-
dc.date.issued	2016
dc.identifier.issn	1751-8113
dc.identifier.other	sigarra:168589
dc.identifier.uri	https://hdl.handle.net/10216/89267	-
dc.description.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.
dc.language.iso	eng
dc.rights	openAccess
dc.title	Tail prepivoting for the Hill estimator
dc.type	Artigo em Revista Científica Internacional
dc.contributor.uporto	Faculdade de Economia
dc.contributor.uporto	Faculdade de Ciências
dc.identifier.doi	10.1088/1751-8113/49/19/194004
dc.identifier.authenticus	P-00K-E0J
Appears in Collections:	FCUP - Artigo em Revista Científica Internacional FEP - Artigo em Revista Científica Internacional

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