On the estimation of high quantiles
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Publication:2365863
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Cites work
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- On the estimation of the extreme-value index and large quantile estimation
Cited in
(41)- Estimation of the extreme value index and extreme quantiles under random censoring
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- Extreme quantile estimation for \(\beta\)-mixing time series and applications
- Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors
- Large quantile estimation in a multivariate setting
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- Extremal quantile regression
- On testing extreme value conditions
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- scientific article; zbMATH DE number 5864732 (Why is no real title available?)
- Scaling of high-quantile estimators
- A Modified Quantile Estimator Using Extreme-Value Theory with Applications
- A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators
- Approximation of high quantiles from intermediate quantiles
- Asymptotic Normality of Extreme Quantile Estimators Based on the Peaks-Over-Threshold Approach
- scientific article; zbMATH DE number 4106101 (Why is no real title available?)
- Asymptotic behaviour of the probability-weighted moments and penultimate approximation
- On optimising the estimation of high quantiles of a probability distribution
- A practical method for analysing heavy tailed data
- On estimation of high quantiles for certain classes of distributions
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- Exceedance probability of the integral of a stochastic process
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- Approximation of the distribution of excesses through a generalized probability-weighted moments method
- Bias reduction in risk modelling: semi-parametric quantile estimation
- On the estimation of the extreme-value index and large quantile estimation
- A test procedure for detecting super-heavy tails
- Bias reduction for high quantiles
- Estimating catastrophic quantile levels for heavy-tailed distributions
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