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On Uniform Confidence Intervals for the Tail Index and the Extreme Quantile

https://doi.org/10.2139/ssrn.4727501
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Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
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Heavy-Tail Phenomena: Probabilistic and Statistical Modeling
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The effects of demographics and maternal behavior on the distribution of birth outcomes
inferredcites →https://doi.org/10.1007/s00440-012-0446-zopenalex-extracted
Adaptive confidence sets in $$L^2$$
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An adaptive optimal estimate of the tail index for MA(l) time series
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Selecting the optimal sample fraction in univariate extreme value estimation
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A general class of estimators of the extreme value index
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Smoothing the Hill Estimator
inferredcites →https://doi.org/10.1017/s0001867800030561openalex-extracted
Estimation of parameters and large quantiles based on the K largest observations
inferredcites →https://doi.org/10.1080/01621459.2021.1929246openalex-extracted
Model-Assisted Uniformly Honest Inference for Optimal Treatment Regimes in High Dimension
inferredcites →https://doi.org/10.1111/1467-9469.00097openalex-extracted
On Smooth Statistical Tail Functionals
inferredcites →https://doi.org/10.1111/1467-9868.00286openalex-extracted
A Diagnostic for Selecting the Threshold in Extreme Value Analysis
inferredcites →https://doi.org/10.1111/insr.12058openalex-extracted
Extreme Value Theory and Statistics of Univariate Extremes: A Review
inferredcites →https://doi.org/10.1111/j.1467-842x.2006.00425.xopenalex-extracted
A NEW CALIBRATION METHOD OF CONSTRUCTING EMPIRICAL LIKELIHOOD‐BASED CONFIDENCE INTERVALS FOR THE TAIL INDEX
inferredcites →https://doi.org/10.1198/tech.2007.s684openalex-extracted
Extreme Value Theory: An Introduction
inferredcites →https://doi.org/10.1214/07-aos500openalex-extracted
Adaptive confidence bands
inferredcites →https://doi.org/10.1214/11-aos903openalex-extracted
On adaptive inference and confidence bands
inferredcites →https://doi.org/10.1214/13-ejs867openalex-extracted
Honest and adaptive confidence sets in $L_{p}$
inferredcites →https://doi.org/10.1214/14-aos1221openalex-extracted
On asymptotically optimal confidence regions and tests for high-dimensional models
inferredcites →https://doi.org/10.1214/14-ejs944openalex-extracted
Adaptive confidence intervals for the tail coefficient in a wide second order class of Pareto models
inferredcites →https://doi.org/10.1214/aos/1030741084openalex-extracted
On nonparametric confidence intervals
inferredcites →https://doi.org/10.1214/aos/1176343247openalex-extracted
A Simple General Approach to Inference About the Tail of a Distribution
inferredcites →https://doi.org/10.1214/aos/1176346596openalex-extracted
Adaptive Estimates of Parameters of Regular Variation
inferredcites →https://doi.org/10.1214/aos/1176347253openalex-extracted
Honest Confidence Regions for Nonparametric Regression
inferredcites →https://doi.org/10.1214/aos/996986509openalex-extracted
Minimax Risk Bounds in Extreme Value Theory
inferredcites →https://doi.org/10.2139/ssrn.2717478openalex-extracted
Tail Index Estimation: Quantile Driven Threshold Selection
inferredcites →https://doi.org/10.2139/ssrn.3087413openalex-extracted
Optimal Inference in a Class of Regression Models
inferredcites →https://doi.org/10.2307/3318540openalex-extracted
Confidence Intervals for the Tail Index
inferredcites →https://doi.org/10.3150/07-bej5175openalex-extracted
Assessing confidence intervals for the tail index by Edgeworth expansions for the Hill estimator
inferredcites →https://doi.org/10.3982/qe1199openalex-extracted
Simple and honest confidence intervals in nonparametric regression
inferredcites →https://doi.org/10.5705/ss.2013.272openalex-extracted
Adaptive and minimax optimal estimation of the tail coefficient
inferredcites →https://doi.org/10.6092/issn.1973-2201/9533openalex-extracted
A Review of More than One Hundred Pareto-Tail Index Estimators
Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.