Confidence intervals based on L-moments for quantiles of the GP and GEV distributions with application to market-opening asset prices data (Q5861580): Difference between revisions

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scientific article; zbMATH DE number 7482792

Language	Label	Description	Also known as
English	Confidence intervals based on L-moments for quantiles of the GP and GEV distributions with application to market-opening asset prices data	scientific article; zbMATH DE number 7482792

Statements

instance of

scholarly article

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title

Confidence intervals based on L-moments for quantiles of the GP and GEV distributions with application to market-opening asset prices data (English)

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author

Tereza Šimková

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published in

Journal of Applied Statistics

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publication date

1 March 2022

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zbMATH Keywords

L-moments

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parameter and quantile estimation

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confidence interval

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generalized Pareto distribution

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generalized extreme-value distribution

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describes a project that uses

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MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/02664763.2020.1757046

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cites work

Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes

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On a Characterization of Distributions by Expected Values of Extreme Order Statistics

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Asymptotic Distribution of Linear Combinations of Functions of Order Statistics with Applications to Estimation

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Linear estimates with polynomial coefficients

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A Comparison of confidence intervals for generalized extreme-value distributions

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Estimation of quantiles and confidence intervals for the log-Gumbel distribution

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Estimation of confidence intervals of quantiles for the Weibull distribution

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Q3482696

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Parameter and Quantile Estimation for the Generalized Pareto Distribution

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A Note on Order Statistics

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L-moments of the Birnbaum–Saunders distribution and its extreme value version: estimation, goodness of fit and application to earthquake data

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Bounds on distribution functions in terms of expectations of order- statistics

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An Elementary Proof of Asymptotic Normality of Linear Functions of Order Statistics

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Linear Statistical Inference and its Applications

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INTERRELATIONS BETWEEN CERTAIN LINEAR SYSTEMATIC STATISTICS OF SAMPLES FROM ANY CONTINUOUS POPULATION

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Derivation of approximants to the inverse distribution function of a continuous univariate population from the order statistics of a sample

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A comparison of L-, LQ-, TL-moment and maximum likelihood high quantile estimates of the GPD and GEV distribution

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Q3692669

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Linear functions of order statistics with smooth weight functions

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Q3757131

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Identifiers

DOI

10.1080/02664763.2020.1757046

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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+On a Characterization of Distributions by Expected Values of Extreme Order Statistics
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+Asymptotic Distribution of Linear Combinations of Functions of Order Statistics with Applications to Estimation
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+A Comparison of confidence intervals for generalized extreme-value distributions
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+Estimation of confidence intervals of quantiles for the Weibull distribution
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+L-moments of the Birnbaum–Saunders distribution and its extreme value version: estimation, goodness of fit and application to earthquake data
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+Bounds on distribution functions in terms of expectations of order- statistics
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+An Elementary Proof of Asymptotic Normality of Linear Functions of Order Statistics
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+Linear Statistical Inference and its Applications
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+Derivation of approximants to the inverse distribution function of a continuous univariate population from the order statistics of a sample
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+A comparison of L-, LQ-, TL-moment and maximum likelihood high quantile estimates of the GPD and GEV distribution
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+Q3692669
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