Approximation by penultimate extreme value distributions

From MaRDI portal
Publication:1979092

DOI10.1023/A:1009920327187zbMath0947.60019OpenAlexW2112456461MaRDI QIDQ1979092

M. Ivette Gomes, Laurens De Haan

Publication date: 24 May 2000

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009920327187




Related Items (21)

A class of asymptotically unbiased semi-parametric estimators of the tail index.Predicting the Number of Future EventsPenultimate approximation for the distribution of the excessesUnnamed ItemApproximation of the distribution of excesses through a generalized probability-weighted moments methodExtreme Value Theory and Statistics of Univariate Extremes: A ReviewAsymptotic behavior of the extrapolation error associated with the estimation of extreme quantilesAn interview with Ivette GomesTail index estimation with a fixed tuning parameter fractionModeling of maximum precipitation using maximal generalized extreme value distributionCensoring estimators of a positive tail indexEVT-based estimation of risk capital and convergence of high quantilesBias reduction of a tail index estimator through an external estimation of the second-order parameterA simple second-order reduced bias’ tail index estimatorConvergence Rate of Extremes for the General Error DistributionAsymptotic behaviour of the probability-weighted moments and penultimate approximationReduced‐bias tail index estimation and the jackknife methodologyStatistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributionsScaling of High-Quantile EstimatorsPenultimate approximations in statistics of extremes and reliability of large coherent systemsAutomated and distributed statistical analysis of economic agent-based models




This page was built for publication: Approximation by penultimate extreme value distributions