• Prof. Liang Peng
    School of Mathematics – Georgia Institute of Technology, USA and Eurandom, The Netherlands
  • FCUL – DEIO – Bloco C/2 – Piso 2 – Sala 2.2.26 – 11:30
  • Segunda-feira, 7 de Julho de 2003
 Empirical likelihood based confidence intervals for the mean were introduced by Owen (1988), where at least a finite second moment is required. This excludes some important distributions, for example, which are in the domain of attraction of a stable law with index between one and two. In this paper we propose an empirical likelihood based confidence interval for the mean when the underlying distribution has heavy tails. Our method can easily be extended to obtain a confidence interval for any order of moment of a heavy tailed distribution. Further, we apply the empirical likelihood method to obtain a confidence interval for the tail index.