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

DOI10.1214/AOS/1028674844MaRDI QIDQ1848960zbMATH OpenOpenAlexFDO

Authors Liang Peng, Nader Tajvidi, Peter Hall

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

bootstrapcalibrationdomain of attractionexeedenceextreme valuespeaks over thresholds

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Inference from stochastic processes and prediction (62M20)

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Cites work

• A simple general approach to inference about the tail of a distribution
• Approximate predictive likelihood
• Bootstrap Prediction Intervals for Regression
• Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution
• Estimating a tail exponent by modelling departure from a Pareto distribution
• Estimating tails of probability distributions
• Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
• Extreme value statistics and wind storm losses: A case study
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• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Predictive likelihood: A review. With comments and a rejoinder by the author
• Refining Bootstrap Simultaneous Confidence Sets
• Tail estimates motivated by extreme value theory
• The bootstrap and Edgeworth expansion

Cited in

(2)

• Univariate and bivariate GPD methods for predicting extreme wind storm losses
• Modeling and predicting extrapolated probabilities with outlooks (With discussion)

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