Bootstrap and empirical likelihood methods in extremes |
| |
Authors: | Yongcheng Qi |
| |
Institution: | (1) Department of Mathematics and Statistics, University of Minnesota Duluth, 1117 University Drive, Duluth, MN 55812, USA |
| |
Abstract: | One of the major interests in extreme-value statistics is to infer the tail properties of the distribution functions in the
domain of attraction of an extreme-value distribution and to predict rare events. In recent years, much effort in developing
new methodologies has been made by many researchers in this area so as to diminish the impact of the bias in the estimation
and achieve some asymptotic optimality in inference problems such as estimating the optimal sample fractions and constructing
confidence intervals of various quantities. In particular, bootstrap and empirical likelihood methods, which have been widely
used in many areas of statistics, have drawn attention. This paper reviews some novel applications of the bootstrap and the
empirical likelihood techniques in extreme-value statistics.
Dedicated to Professor Laurens de Haan on the occasion of his 70th birthday. |
| |
Keywords: | Bootstrap Confidence interval Empirical likelihood Extremes High quantile Sample fraction Tail index |
本文献已被 SpringerLink 等数据库收录! |
|