Estimating tails of probability distributions
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(only showing first 100 items - show all)- Comparison of estimation methods in extreme value theory
- Existence and consistency of the maximum likelihood estimator for the extreme value index
- scientific article; zbMATH DE number 3911475 (Why is no real title available?)
- On testing the extreme value index via the POT-method
- \(K\)-record values and the extreme-value index
- On the estimation of the variability in the distribution tail
- A statistical test procedure for the shape parameter of a generalized Pareto distribution
- Optimal asymptotic estimation of small exceedance probabilities
- DETECTING AND MODELING TAIL DEPENDENCE
- Risk contagion under regular variation and asymptotic tail independence
- Nonparametric estimation of a class of smooth functions
- Forecasting value-at-risk with a duration-based POT method
- Bootstrap confidence intervals for tail indices.
- Smooth tail-index estimation
- Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold
- Parameter estimation for 2-parameter generalized Pareto distribution by POME
- An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.
- Weak convergence to the student and Laplace distributions
- Bias reduction for endpoint estimation
- The flood probability distribution tail: How heavy is it?
- Tail inference: where does the tail begin?
- On a generalized Pickands estimator of the extreme value index
- Estimating extreme probabilities using tail simulated data
- Ratio of generalized Hill's estimator and its asymptotic normality theory
- Smooth nonparametric estimation of the quantile function
- Iterative estimation of the extreme value index
- Asymptotic behaviour of the probability-weighted moments and penultimate approximation
- Almost sure convergence of the Hill estimator
- Inferences on parametric estimation of distribution tails
- Estimation of the tail parameter in the domain of attraction of an extremal distribution
- Statistical Inference for the Generalized Pareto Distribution: Maximum Likelihood Revisited
- A note on generalized Pareto distributions and the k upper extremes
- POT-based estimation of the renewal function of interoccurrence times of heavy-tailed risks
- A comparative evaluation of the estimators of the three-parameter generalized pareto distribution
- Asymptotically efficient estimation of the index of regular variation
- On discrimination between classes of distribution tails
- Modelling of extremal events in insurance and finance
- Data driven estimates for mixtures
- A two-step estimator of the extreme value index
- Graphical characterisation of probability distribution tails
- Comparing extreme models when the sign of the extreme value index is known
- Generalized Pickands estimators for the extreme value index
- The contribution of the maximum to the sum of excesses for testing max-domains of attraction
- An Estimator of the Exponent of Regular Variation Based on K-Record Values
- A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation
- Sparse representation of multivariate extremes with applications to anomaly detection
- Effect of extrapolation on coverage accuracy of prediction intervals computed from Pareto-type data
- Improving extreme quantile estimation via a folding procedure
- A predictive approach to tail probability estimation
- A matching prior for extreme quantile estimation of the generalized Pareto distribution
- A robust process capability index
- On tail trend detection: modeling relative risk
- scientific article; zbMATH DE number 934444 (Why is no real title available?)
- LAN of extreme order statistics
- Estimation of upper quantiles under model and parameter uncertainty.
- Minimax risk bounds in extreme value theory
- Nonparametric tail estimation using a double bootstrap method.
- Weighted approximations of tail processes for \(\beta\)-mixing random variables.
- Bivariate tail estimation: dependence in asymptotic independence
- Free extreme values
- Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
- Mixed moment estimator and location invariant alternatives
- Robust confidence bounds for extreme upper quantiles
- Prediction of record values
- Regression with response distributions of Pareto-type
- Some Best Parameter Estimates for Distributions with Finite Endpoint
- Estimating a bivariate tail: a copula based approach
- A simple general approach to inference about the tail of a distribution
- Estimating the parameters of rare events
- Peaks-over-threshold modeling under random censoring
- Optimal semiparametric inference for the tail index based on ratios of the largest extremes
- Generalized least-squares estimators for the thickness of heavy tails
- EVT-based estimation of risk capital and convergence of high quantiles
- Estimating extreme bivariate quantile regions
- Tail estimates motivated by extreme value theory
- Kernel-type estimators for the extreme value index
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Refined pickands estimators wtth bias correction
- Statistical advances in environmental science
- ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
- Weighted least squares estimation of the extreme value index
- Semiparametric statistical inference in global random search
- Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
- A method of moments estimator of tail dependence in meta-elliptical models
- On optimal portfolio diversification with respect to extreme risks
- Multivariate generalized Pareto distributions
- The empirical distribution function as a tail estimator
- Extreme value index estimator using maximum likelihood and moment estimation
- Asymptotically unbiased estimation of the coefficient of tail dependence
- On maximum likelihood estimation of the extreme value index.
- A Lynden-Bell integral estimator for extremes of randomly truncated data
- Modeling large claims in non-life insurance
- Test for tail index change in stationary time series with Pareto-type marginal distribution
- Optimal rates of convergence for estimates of the extreme value index
- Extremal memory of stochastic volatility with an application to tail shape inference
- Estimating catastrophic quantile levels for heavy-tailed distributions
- Approximations to the tail empirical distribution function with application to testing extreme value conditions
- Asymptotic comparison of the mixed moment and classical extreme value index estimators
- A simple generalisation of the Hill estimator
- A dynamical mixture model for unsupervised tail estimation without threshold selection
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