Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions (Q1003317)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5520594
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions |
scientific article; zbMATH DE number 5520594 |
Statements
Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions (English)
0 references
28 February 2009
0 references
An overview of the history and modern state of extreme value theory and statistics is given. Limit theorems for univariate and multivariate extremes are discussed. Different estimates of the extreme value index \(\gamma\) are considered, such as the classical Hill estimator and its generalizations, the moment estimator, the peaks over threshold, maximum likelihood estimators, kernel and Q-Q estimators. Second order parameters estimation and adaptive selection of the sample fraction for \(\gamma\) estimation are described. A personal tribute of Laurens de Haan is outlined.
0 references
Hill estimator
0 references
peaks over threshold
0 references
sample fraction selection
0 references
maximum likelihood
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.7991642951965332
0 references
0.7956938743591309
0 references
0.7808003425598145
0 references
0.7780835032463074
0 references
0.7755647897720337
0 references
