Estimation of a scale second-order parameter related to the PORT methodology
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Publication:2320971
DOI10.1080/15598608.2014.969816zbMath1423.62041MaRDI QIDQ2320971
M. Ivette Gomes, Lígia Henriques-Rodrigues, B. G. Manjunath
Publication date: 28 August 2019
Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15598608.2014.969816
semiparametric estimation; statistics of extremes; PORT methodology; peaks over random thresholds; location/scale invariant estimation; scale second-order parameters
62E20: Asymptotic distribution theory in statistics
62G32: Statistics of extreme values; tail inference
65C05: Monte Carlo methods