A unification of tail estimators

DOI10.1080/03610929008830477MaRDI QIDQ3978044zbMATH OpenOpenAlexFDO

Authors Scott D. Grimshaw

Publication date 25 June 1992

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929008830477

zbMATH Keywords

generalized Pareto distributionHill's estimatorquantile functiondensity- quantile functionexceedances over thresholdtail behavior modelunification of tail estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20)

Recommendations

• Estimating tails of probability distributions
• Tail estimates motivated by extreme value theory
• Some results on estimation of the tail index of a distribution
• Asymptotically best linear unbiased tail estimators under a second-order regular variation condition
• Weibull tail-distributions revisited: A new look at some tail estimators

Cites work

• A simple general approach to inference about the tail of a distribution
• Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
• Nonparametric Statistical Data Modeling
• On estimating the endpoint of a distribution
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Statistical inference using extreme order statistics

Cited in

(2)

• Premium Calculation for Fat-tailed Risk
• An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.

This page was built for publication: A unification of tail estimators

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3978044)