Effect of extrapolation on coverage accuracy of prediction intervals computed from Pareto-type data

DOI10.1214/aos/1028674844zbMath1029.62079MaRDI QIDQ1848960

Hall, Peter, Liang Peng, Nader Tajvidi

Publication date: 14 November 2002

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

Full work available at URL: https://projecteuclid.org/euclid.aos/1028674844

zbMATH Keywords

bootstrap; extreme values; domain of attraction; calibration; peaks over thresholds; exeedence

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62G20: Asymptotic properties of nonparametric inference

62G32: Statistics of extreme values; tail inference