The maximum L_q-likelihood method: an application to extreme quantile estimation in finance

DOI10.1007/S11009-007-9063-1zbMATH Open1293.62064OpenAlexW2088094195MaRDI QIDQ398802FDOQ398802

Davide Ferrari, Sandra Paterlini

Publication date: 15 August 2014

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-007-9063-1

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zbMATH Keywords

maximum likelihoodextreme value theory\(q\)-entropytail-related risk measures

Mathematics Subject Classification ID

Parametric inference (62F99) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

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Cited In (8)

• Penalized Lq-likelihood estimators and variable selection in linear regression models
• On unbiased optimal \(L\)-statistics quantile estimators
• Maximum Lq-likelihood estimation: a study of entropy behavior for the Pareto-exponential distribution with application
• Conditional maximum Lq-likelihood estimation for regression model with autoregressive error terms
• Modified maximum spacings method for generalized extreme value distribution and applications in real data analysis
• Testing for the shape parameter of generalized extreme value distribution based on the \(L_q\)-likelihood ratio statistic
• Maximum Lq-Likelihood Estimation for the parameters of Marshall-Olkin Extended Burr XII Distribution
• Maximum L\(q\)-likelihood estimation

Uses Software

• R
• POT
• evir
• ElemStatLearn
• QRM

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