Optimal asymptotic estimation of small exceedance probabilities

DOI10.1016/S0378-3758(01)00240-3MaRDI QIDQ1600743zbMATH OpenOpenAlexFDO

Authors R. Smith, Ana Ferreira

Publication date 16 June 2002

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-3758(01)00240-3, https://pure.tue.nl/ws/files/2811934/537142.pdf

zbMATH Keywords

bootstrapextreme valuesgeneralized Paretotail probability estimation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Nonparametric statistical resampling methods (62G09) Statistics of extreme values; tail inference (62G32)

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Cites work

• A bootstrap-based method to achieve optimality in estimating the extreme-value index
• A moment estimator for the index of an extreme-value distribution
• A simple general approach to inference about the tail of a distribution
• Comparison of estimation methods in extreme value theory
• Estimating tails of probability distributions
• scientific article; zbMATH DE number 1026035 (Why is no real title available?)
• On the estimation of extreme tail probabilities
• On the maximal life span of humans
• Sur la distribution limite du terme maximum d'une série aléatoire
• Tail estimates motivated by extreme value theory
• The empirical distribution function as a tail estimator
• Using a bootstrap method to choose the sample fraction in tail index estimation

Cited in

(11)

• Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
• Bootstrap and empirical likelihood methods in extremes
• Estimating tails of probability distributions
• On univariate extreme value statistics and the estimation of reinsurance premiums
• Adaptive and minimax optimal estimation of the tail coefficient
• Buffered Probability of Exceedance: Mathematical Properties and Optimization
• Pareto approximation of the tail by local exponential modeling
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
• Estimation and asymptotics for buffered probability of exceedance
• Estimation of the extreme-value index and generalized quantile plots
• Statistics of extremes by oracle estimation

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