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Bootstrap confidence intervals for tail indices

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  • Caers, Jef
  • Beirlant, Jan
  • Vynckier, Petra

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  • Caers, Jef & Beirlant, Jan & Vynckier, Petra, 1998. "Bootstrap confidence intervals for tail indices," Computational Statistics & Data Analysis, Elsevier, vol. 26(3), pages 259-277, January.
    • Handle: RePEc:eee:csdana:v:26:y:1998:i:3:p:259-277
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    References listed on IDEAS

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    1. Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, Tilburg University, School of Economics and Management.
    2. Hall, Peter, 1990. "Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems," Journal of Multivariate Analysis, Elsevier, vol. 32(2), pages 177-203, February.
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    Cited by:

    1. Jean‐Pierre Gauchi & Jean‐Charles Leblanc, 2002. "Quantitative Assessment of Exposure to the Mycotoxin Ochratoxin A in Food," Risk Analysis, John Wiley & Sons, vol. 22(2), pages 219-234, April.
    2. Thomas Werner & Christian Upper, 2004. "Time variation in the tail behavior of Bund future returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(4), pages 387-398, April.
    3. EL-NOUTY Charles & GUILLOU Armelle, 2000. "On The Bootstrap Accuracy Of The Pareto Index," Statistics & Risk Modeling, De Gruyter, vol. 18(3), pages 275-290, March.
    4. Caers, Jef & Dyck, Jozef Van, 1998. "Nonparametric tail estimation using a double bootstrap method," Computational Statistics & Data Analysis, Elsevier, vol. 29(2), pages 191-211, December.

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