Asymptotic normality of the extreme quantile estimator based on the POT method

DOI10.1016/J.CRMA.2005.06.032MaRDI QIDQ2565528zbMATH OpenOpenAlexFDO

Authors J. Diebolt, Armelle Guillou, Pierre Ribereau

Publication date 27 September 2005

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2005.06.032

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

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Cites work

• Asymptotic Normality of Extreme Quantile Estimators Based on the Peaks-Over-Threshold Approach
• scientific article; zbMATH DE number 1026035 (Why is no real title available?)
• On maximum likelihood estimation of the extreme value index.
• On Smooth Statistical Tail Functionals
• On the estimation of high quantiles
• Statistical inference using extreme order statistics
• Sur la distribution limite du terme maximum d'une série aléatoire

Cited in

(6)

• On the use of the peaks over thresholds method for estimating out-of-sample quantiles.
• A folding method for extreme quantiles estimation
• Asymptotic behaviour of regular estimators
• A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL
• Asymptotic Normality of Extreme Quantile Estimators Based on the Peaks-Over-Threshold Approach
• Improving extreme quantile estimation via a folding procedure

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