A Modified Quantile Estimator Using Extreme-Value Theory with Applications

DOI10.1515/EQC.2005.31MaRDI QIDQ3429948zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

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

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(4)

• A new extreme quantile estimator for heavy-tailed distributions
• On monitoring financial stress index with extreme value theory
• 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

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