A dynamical mixture model for unsupervised tail estimation without threshold selection
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Publication:1424679
DOI10.1023/A:1024072610684zbMath1039.62042OpenAlexW46851279MaRDI QIDQ1424679
Håvard Rue, Arnoldo Frigessi, Ola Haug
Publication date: 16 March 2004
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1024072610684
Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Statistics of extreme values; tail inference (62G32)
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