Empirical likelihood based confidence intervals for the tail index when γ<−1/2

Haoze Sun and Yuexiang Jiang

Statistics & Probability Letters, 2014, vol. 84, issue C, 149-157

Abstract: Empirical mortality data reveals that there is a finite age limit in the life span of humans, which means that it has a negative tail index. So far, there is a little literature on the confidence intervals for the tail index, especially for the negative tail index. In this paper, we construct its empirical likelihood based confidence intervals when γ<−1/2, which is known as the irregular case and derive the asymptotic χ2(1) distribution. At last a limited simulation study is conducted, which indicates that our method is better than the normal approximation in the sense of coverage probability and less sensitive to the selection of k.

Keywords: Negative tail index; Empirical likelihood; Confidence interval (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2013.10.001

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