Approximation of the distribution of excesses through a generalized probability-weighted moments method

DOI10.1016/J.JSPI.2006.06.012zbMath1107.60027OpenAlexW2082927686MaRDI QIDQ866629

Armelle Guillou, Imen Rached, Jean Diebolt

Publication date: 14 February 2007

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2006.06.012

zbMATH Keywords

extreme valuespenultimate approximationgeneralized Pareto distribution

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Extreme value theory; extremal stochastic processes (60G70)

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• Convergence rates for the ultimate and pentultimate approximations in extreme-value theory
• Asymptotic behaviour of the probability-weighted moments and penultimate approximation
• Penultimate approximation for the distribution of the excesses

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