Comparative study on excess distribution estimation in iid settings

DOI10.1080/03610926.2024.2358864MaRDI QIDQ6927917zbMATH OpenFDO

Authors Taku Moriyama

Publication date 18 September 2025

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/03610926.2024.2358864

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Density estimation (62G07) Statistics of extreme values; tail inference (62G32)

Cites work

• Asymptotic mean squared error of kernel estimator of excess distribution function
• Best attainable rates of convergence for estimates of parameters of regular variation
• Estimating tails of probability distributions
• Estimating the conditional extreme-value index under random right-censoring
• scientific article; zbMATH DE number 847282 (Why is no real title available?)
• Likelihood inference for generalized Pareto distribution
• LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
• On the estimation of extreme tail probabilities
• Parameter and quantile estimation for the generalized Pareto distribution in peaks over threshold framework
• Peaks Over Thresholds Modeling With Multivariate Generalized Pareto Distributions
• Statistical inference using extreme order statistics
• Statistics of Extremes

This page was built for publication: Comparative study on excess distribution estimation in iid settings

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6927917)