A folding method for extreme quantiles estimation

MaRDI QIDQ2925443zbMATH OpenFDO

Authors Philippe Naveau, Alexandre You, Armelle Guillou

Publication date 22 October 2014

Published in REVSTAT (Search for Journal in Brave)

Full work available at URL http://www.ine.pt/revstat/pdf/rs100102.pdf

zbMATH Keywords

extreme quantile estimationfoldinggeneralized Pareto distributiongeneralized probability-weighted moments estimatorspeaks-over-thresholds

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Recommendations

• Improving extreme quantile estimation via a folding procedure
• On the use of the peaks over thresholds method for estimating out-of-sample quantiles.
• A folding methodology for multivariate extremes: estimation of the spectral probability measure and actuarial applications
• Asymptotic Normality of Extreme Quantile Estimators Based on the Peaks-Over-Threshold Approach
• Asymptotic normality of the extreme quantile estimator based on the POT method

Cited in

(4)

• On the use of the peaks over thresholds method for estimating out-of-sample quantiles.
• A folding methodology for multivariate extremes: estimation of the spectral probability measure and actuarial applications
• Quad folding: a simple idea for the subjective property characterization of large sample sets
• Improving extreme quantile estimation via a folding procedure

This page was built for publication: A folding method for extreme quantiles estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2925443)