Fixed-k Asymptotic Inference about Tail Properties*

@inproceedings{Mller2017FixedkAI,
  title={Fixed-k Asymptotic Inference about Tail Properties*},
  author={Ulrich K. M{\"u}ller and Yulong Wang},
  year={2017}
}
We consider inference about tail properties of a distribution from an iid sample, based on extreme value theory. All of the numerous previous suggestions rely on asymptotics where eventually, an infinite number of observations from the tail behave as predicted by extreme value theory, enabling the consistent estimation of the key tail index, and the construction of confidence intervals using the delta method or other classic approaches. In small samples, however, extreme value theory might well… CONTINUE READING

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