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arXiv · 2210.05074

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

Yuya Sasaki·Yulong Wang
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Abstract

This paper presents two results concerning uniform confidence intervals for the tail index and the extreme quantile. First, we show that it is impossible to construct a length-optimal confidence interval satisfying the correct uniform coverage over a local non-parametric family of tail distributions. Second, in light of the impossibility result, we construct honest confidence intervals that are uniformly valid by incorporating the worst-case bias in the local non-parametric family. The proposed method is applied to simulated data and a real data set of National Vital Statistics from National Center for Health Statistics.

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Yuya Sasaki, Yulong Wang. 2022-10-23. On Uniform Confidence Intervals for the Tail Index and the Extreme Quantile. https://arxiv.org/abs/2210.05074

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