A unification of tail estimators

DOI10.1080/03610929008830477zbMATH Open0738.62025OpenAlexW2037340120MaRDI QIDQ3978044FDOQ3978044

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

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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)

Cites Work

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

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.

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