Local polynomial maximum likelihood estimation for Pareto-type distributions.

DOI10.1016/S0047-259X(03)00125-8zbMath1035.62041OpenAlexW2037069720MaRDI QIDQ1427526

Jan Beirlant, Yuri Goegebeur

Publication date: 14 March 2004

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0047-259x(03)00125-8

zbMATH Keywords

Generalized Pareto distributionExtreme-value indexLocal polynomial maximum likelihood estimation

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

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Uses Software

• ismev

Cites Work

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• Regression with response distributions of Pareto-type
• Estimating tails of probability distributions
• Statistical inference using extreme order statistics
• Tail index estimation and an exponential regression model
• Estimating a tail exponent by modelling departure from a Pareto distribution
• Sur la distribution limite du terme maximum d'une série aléatoire
• SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
• Local Polynomial Estimation in Multiparameter Likelihood Models
• Local Polynomial Kernel Regression for Generalized Linear Models and Quasi-Likelihood Functions
• Local Likelihood Smoothing of Sample Extremes
• Cumulative Frequency Functions
• An introduction to statistical modeling of extreme values

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