Modeling extreme values by the residual coefficient of variation

zbMath1357.62214arXiv1510.00179MaRDI QIDQ3179379

Maria Padilla, Joan del Castillo

Publication date: 21 December 2016

Full work available at URL: https://arxiv.org/abs/1510.00179

zbMATH Keywords

heavy tailsPareto distributionstatistics of extremesvalue at riskresidual coefficient of variationhigh quantile estimationeuro/dollar

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Exact distribution theory in statistics (62E15) Statistics of extreme values; tail inference (62G32) Markov processes: estimation; hidden Markov models (62M05) Markov processes: hypothesis testing (62M02)

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