Optimal asymptotic estimation of small exceedance probabilities

DOI10.1016/S0378-3758(01)00240-3zbMath0988.62029MaRDI QIDQ1600743

R. Smith

Publication date: 16 June 2002

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

bootstrap; extreme values; generalized Pareto; tail probability estimation

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62G05: Nonparametric estimation

62G32: Statistics of extreme values; tail inference

62G09: Nonparametric statistical resampling methods

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