On the estimation of extreme tail probabilities

DOI10.1214/AOS/1069362750MaRDI QIDQ1364752zbMATH OpenOpenAlexFDO

Authors Ishay Weissman, Peter Hall

Publication date 6 October 1997

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1069362750

zbMATH Keywords

bootstrapextreme valuesHill's estimatororder statisticsPareto approximationregular variationsmoothing

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Nonparametric estimation (62G05) Nonparametric statistical resampling methods (62G09) Order statistics; empirical distribution functions (62G30)

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Cited in

(23)

• Estimating tails of probability distributions
• Estimating extreme probabilities using tail simulated data
• On the impossibility of estimating densities in the extreme tail
• Optimal asymptotic estimation of small exceedance probabilities
• Parametric control charts
• On the estimation of the variability in the distribution tail
• Adjusted empirical likelihood method for the tail index of a heavy-tailed distribution
• On univariate extreme value statistics and the estimation of reinsurance premiums
• Approximation and estimation of very small probabilities of multivariate extreme events
• Heavy-traffic approximations for fractionally integrated random walks in the domain of attraction of a non-Gaussian stable distribution
• Robust test for detecting a signal in a high dimensional sparse normal vector
• Concomitant tail behaviour for extremes
• On optimising the estimation of high quantiles of a probability distribution
• Estimation of Tail Risk Based on Extreme Expectiles
• A general approach to generate random variates for multivariate copulae
• Estimation of Tails and Related Quantities Using the Number of Near-Extremes
• Understanding heavy tails in a bounded world or, is a truncated heavy tail heavy or not?
• Asymptotic expansions of convolutions of regularly varying distributions
• Comparative study on excess distribution estimation in iid settings
• Nonparametric estimation of splicing points in skewed cost distributions: a kernel-based approach
• Probability tails of Gaussian extrema
• Threshold selection in univariate extreme value analysis
• Tail index estimation, concentration and adaptivity

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