A Modified Quantile Estimator Using Extreme-Value Theory with Applications

DOI10.1515/EQC.2005.31zbMATH Open1108.62050OpenAlexW2027361500MaRDI QIDQ3429948FDOQ3429948

Authors: M. B. Vermaat, Ronald J. M. M. Does, A. G. M. Steerneman 

Publication date: 20 March 2007

Published in: Economic Quality Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/eqc.2005.31

Recommendations

• On optimizing the estimation of extreme value quantiles of probability distributions
• Quantile Estimates in Complete and Censored Samples From Extreme-Value and Weibull Distributions
• Estimation and testing of quantiles of the extreme-value distribution
• On the estimation of high quantiles
• Improved distribution quantile estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics in engineering and industry; control charts (62P30) Statistics of extreme values; tail inference (62G32)

Cites Work

• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• A moment estimator for the index of an extreme-value distribution
• On the estimation of high quantiles

Cited In (4)

• A new financial stress index model based on support vector regression and control chart
• Small-sample estimators of the quantiles of the normal, log-normal and Pareto distributions
• On monitoring financial stress index with extreme value theory
• A new extreme quantile estimator for heavy-tailed distributions

This page was built for publication: A Modified Quantile Estimator Using Extreme-Value Theory with Applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3429948)