An empirical likelihood–based confidence interval is proposed for interval estimations of the autoregressive coefficient of a first-order autoregressive model via weighted score equations. Although the proposed weighted estimate is less efficient than the usual least squares estimate, its...

By assuming that the underlying distribution belongs to the domain of attraction of an extreme value distribution, one can extrapolate the data to a far tail region so that a rare event can be predicted. However, when the distribution is in the domain of attraction of a Gumbel distribution, the...

Modeling and estimating a tail copula play an important role in forecasting rare events. Due to their easy simulation, elliptical copulas have been employed in risk management. Recently, Klppelberg, [Klppelber, C., Kuhn, G., Peng, L., 2007. Estimating the tail dependence function of an...