Estimators for a large quantile and the upper endpoint

DOI10.3969/J.ISSN.1005-3085.2014.03.012MaRDI QIDQ5171712zbMATH OpenFDO

Authors Lamei He

Publication date 11 February 2015

Full work available at URL https://doi.org/10.3969/J.ISSN.1005-3085.2014.03.012

zbMATH Keywords

extreme value indexlarge quantilePickands' estimatorupper endpoint

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

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Cited in

(6)

• Comparison of estimation methods in extreme value theory
• On optimising the estimation of high quantiles of a probability distribution
• Pickands-type estimator for large quantile estimation of a fixed smoothing parameter
• Estimating the inverse distribution function at the boundary
• On estimation of high quantiles for certain classes of distributions
• On the estimation of the extreme-value index and large quantile estimation

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