Parameter Estimation for the Tail Distribution of a Random Sequence

DOI10.1080/03610918.2011.654034MaRDI QIDQ4921613zbMATH OpenOpenAlexFDO

Authors Mathias Raschke

Publication date 13 May 2013

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2011.654034

zbMATH Keywords

declusteringextreme valuegeneralized Pareto distributionjackknifepeak over thresholdrandom sequencetail

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Bootstrap, jackknife and other resampling methods (62F40)

Recommendations

• sequestial estimation of a tail probabality of an unknown distribution
• scientific article; zbMATH DE number 3921736
• Inferences on parametric estimation of distribution tails
• Estimating tails of probability distributions
• TAIL PROBABILITY OF THE SEQUENTIAL MAXIMUM LIKELIHOOD ESTIMATOR FOR THE EXPONENTIAL CLASS
• Estimation of the tail of probability distribution through its characteristic function
• Estimation of distribution tails —a semiparametric approach
• On the estimation of the variability in the distribution tail

Cites work

• A moment estimator for the index of an extreme-value distribution
• Bootstrap methods: another look at the jackknife
• Estimation for the generalized Pareto distribution using maximum likelihood and goodness of fit
• Extreme value theory. An introduction.
• Extremes and related properties of random sequences and processes
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Introduction to variance estimation
• Maximum likelihood estimation in a class of nonregular cases
• Point processes and multivariate extreme values
• Statistical inference using extreme order statistics
• Statistics of Extremes

Describes a project that uses

Uses Software

• ismev

This page was built for publication: Parameter Estimation for the Tail Distribution of a Random Sequence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4921613)