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math.ST2022
On Uniform Confidence Intervals for the Tail Index and the Extreme Quantile
Yuya Sasaki, Yulong Wang
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-opti…
math.ST2019
Efficient Minimum Distance Estimation of Pareto Exponent from Top Income Shares
Alexis Akira Toda, Yulong Wang
We propose an efficient estimation method for the income Pareto exponent when only certain top income shares are observable. Our estimator is based on the asymptotic theory of weig…