High quantile estimation and the PORT methodology

MaRDI QIDQ2925437zbMATH OpenFDO

Authors Lígia Henriques-Rodrigues, M. Ivette Gomes

Publication date 22 October 2014

Published in REVSTAT (Search for Journal in Brave)

Full work available at URL http://www.ine.pt/revstat/pdf/rs090303.pdf

zbMATH Keywords

asymptotic behaviourheavy tailshigh quantilesPORT methodologysemiparametric estimationstatistics of extremes

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)

Recommendations

• On the estimation of high quantiles
• High quantiles of heavy-tailed distributions: Their estimation
• On estimation of high quantiles for certain classes of distributions
• On optimising the estimation of high quantiles of a probability distribution
• PORT Hill and Moment Estimators for Heavy-Tailed Models
• Scaling of high-quantile estimators
• Optimal estimation of high quantiles in a large nonparametric model
• High quantile regression for extreme events
• Estimation of high conditional quantiles for heavy-tailed distributions

Cited in

(7)

• Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold
• Estimation of a scale second-order parameter related to the PORT methodology
• A note on the port methodology in the estimation of a shape second-order parameter
• Value-at-risk estimation and the PORT mean-of-order-p methodology
• Peaks over random threshold methodology for tail index and high quantile estimation
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
• The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements

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