Extreme quantile estimation in \(\delta\)-neighborhoods of generalized Pareto distributions

DOI10.1016/0167-7152(94)90229-1zbMath0804.62025MaRDI QIDQ1332869

Michael Falk

Publication date: 17 January 1995

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(94)90229-1

zbMATH Keywords

bounds; model reduction; exponential distributions; location; generalized Pareto distribution; scale; data transformation; finite sample; UMVU estimators; estimation of extreme quantiles

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62G05: Nonparametric estimation

62F10: Point estimation

62G30: Order statistics; empirical distribution functions

Related Items

Iterative estimation of the extreme value index, Some Best Parameter Estimates for Distributions with Finite Endpoint, Smooth tail-index estimation

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