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Adaptive confidence intervals for the tail coefficient in a wide second order class of Pareto models

https://doi.org/10.1214/14-ejs944
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1006/jmva.1993.1078openalex-snapshot
Optimal Choice of Sample Fraction in Extreme-Value Estimation
inferredcites →https://doi.org/10.1006/jmva.2000.1903openalex-snapshot
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
inferredcites →https://doi.org/10.1007/978-1-4757-2545-2openalex-snapshot
Weak Convergence and Empirical Processes
inferredcites →https://doi.org/10.1007/978-3-0348-8069-5_14openalex-snapshot
Concentration Inequalities for Sub-Additive Functions Using the Entropy Method
inferredcites →https://doi.org/10.1007/s002220050108openalex-snapshot
New concentration inequalities in product spaces
inferredcites →https://doi.org/10.1007/s00440-012-0446-zopenalex-snapshot
Adaptive confidence sets in $$L^2$$
inferredcites →https://doi.org/10.1007/s10687-011-0146-6openalex-snapshot
Adaptive estimation of heavy right tails: resampling-based methods in action
inferredcites →https://doi.org/10.1016/j.jspi.2007.07.015openalex-snapshot
Improved reduced-bias tail index and quantile estimators
inferredcites →https://doi.org/10.1016/s0304-4149(98)00017-9openalex-snapshot
Selecting the optimal sample fraction in univariate extreme value estimation
inferredcites →https://doi.org/10.1111/j.1467-9868.2007.00620.xopenalex-snapshot
Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
inferredcites →https://doi.org/10.1111/j.2517-6161.1982.tb01183.xopenalex-snapshot
On Some Simple Estimates of an Exponent of Regular Variation
inferredcites →https://doi.org/10.1214/009053605000000877openalex-snapshot
Adaptive nonparametric confidence sets
inferredcites →https://doi.org/10.1214/09-aos738openalex-snapshot
Confidence bands in density estimation
inferredcites →https://doi.org/10.1214/11-aos903openalex-snapshot
On adaptive inference and confidence bands
inferredcites →https://doi.org/10.1214/13-ejs867openalex-snapshot
Honest and adaptive confidence sets in $L_{p}$
inferredcites →https://doi.org/10.1214/aos/1030563992openalex-snapshot
Optimal rates of convergence for estimates of the extreme value index
inferredcites →https://doi.org/10.1214/aos/1030741084openalex-snapshot
On nonparametric confidence intervals
inferredcites →https://doi.org/10.1214/aos/1176343003openalex-snapshot
Statistical Inference Using Extreme Order Statistics
inferredcites →https://doi.org/10.1214/aos/1176343247openalex-snapshot
A Simple General Approach to Inference About the Tail of a Distribution
inferredcites →https://doi.org/10.1214/aos/1176346596openalex-snapshot
Adaptive Estimates of Parameters of Regular Variation
inferredcites →https://doi.org/10.1214/aos/1176346723openalex-snapshot
Best Attainable Rates of Convergence for Estimates of Parameters of Regular Variation
inferredcites →https://doi.org/10.1214/aos/996986509openalex-snapshot
Minimax Risk Bounds in Extreme Value Theory
inferredcites →https://doi.org/10.2307/3318540openalex-snapshot
Confidence Intervals for the Tail Index
inferredcites →https://doi.org/10.3150/07-bej5175openalex-snapshot
Assessing confidence intervals for the tail index by Edgeworth expansions for the Hill estimator
inferredcites →https://doi.org/10.3150/13-bej512openalex-snapshot
Lower bounds to the accuracy of inference on heavy tails
inferredcites →https://doi.org/10.5705/ss.2013.272openalex-snapshot
Adaptive and minimax optimal estimation of the tail coefficient

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4727501openalex-extracted
On Uniform Confidence Intervals for the Tail Index and the Extreme Quantile
inferred← citeshttps://doi.org/10.1007/978-3-319-71246-8_24openalex-snapshot
Max K-Armed Bandit: On the ExtremeHunter Algorithm and Beyond
inferred← citeshttps://doi.org/10.1016/j.chaos.2014.12.002openalex-snapshot
Power law scaling and “Dragon-Kings” in distributions of intraday financial drawdowns
inferred← citeshttps://doi.org/10.1016/j.jeconom.2024.105865openalex-snapshot
On uniform confidence intervals for the tail index and the extreme quantile
inferred← citeshttps://doi.org/10.1214/15-ejs1088openalex-snapshot
Tail index estimation, concentration and adaptivity
inferred← citeshttps://doi.org/10.70675/b1501209z5cb8z4688z96eczd44e7c361461openalex-snapshot
Contribution à des problèmes statistiques d'ordonnancement et d'apprentissage par renforcement avec aversion au risque
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