Semi-parametric probability-weighted moments estimation revisited
From MaRDI portal
Publication:2445488
DOI10.1007/s11009-012-9295-6zbMath1284.62297OpenAlexW2009564021MaRDI QIDQ2445488
Frederico Caeiro, B. Vandewalle, M. Ivette Gomes
Publication date: 14 April 2014
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10362/118351
heavy tailsvalue-at-riskhigh quantilessemi-parametric estimationprobability of exceedance of high levels
Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)
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