Threshold selection and trimming in extremes
From MaRDI portal
Publication:2027092
DOI10.1007/s10687-020-00385-0zbMath1466.62318arXiv1903.07942OpenAlexW2995259415MaRDI QIDQ2027092
Martin Bladt, Jan Beirlant, Hansjoerg Albrecher
Publication date: 21 May 2021
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1903.07942
Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32) Large deviations (60F10)
Related Items
Sequential Monte Carlo samplers to fit and compare insurance loss models, Estimation of tail parameters with missing largest observations, Trimmed extreme value estimators for censored heavy-tailed data
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