Empirical likelihood based inference for conditional Pareto-type tail index

Yaolan Ma, Yuexiang Jiang and Wei Huang

Statistics & Probability Letters, 2018, vol. 134, issue C, 114-121

Abstract: We propose empirical likelihood-based statistics to construct confidence regions for the regression coefficient of the parametric tail index regression model. Our limited simulation study shows the method is more accurate than the normal approximation in terms of coverage probability.

Keywords: Tail index; Pareto-type distribution; Empirical likelihood; Estimating equations; Confidence regions (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.spl.2017.10.021

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