A Comparison of confidence intervals for generalized extreme-value distributions

DOI10.1080/00949659808811918MaRDI QIDQ4253243zbMATH OpenOpenAlexFDO

Authors C. A. Field, Debbie J. Dupuis

Publication date 19 June 2001

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949659808811918

zbMATH Keywords

confidence intervalscoverageprobability weighted moment estimatesgeneralized extreme-value distributionoptimal bounded robust estimates

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Parametric tolerance and confidence regions (62F25)

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Cites work

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• scientific article; zbMATH DE number 274399 (Why is no real title available?)
• Better Bootstrap Confidence Intervals
• Bootstrap methods: another look at the jackknife
• Robust Estimation: A Weighted Maximum Likelihood Approach
• Robust estimation of extremes
• Small-Sample Confidence Intervals

Cited in

(8)

• Confidence intervals and accuracy estimation for heavy-tailed generalized Pareto distributions
• Confidence intervals based on L-moments for quantiles of the GP and GEV distributions with application to market-opening asset prices data
• scientific article; zbMATH DE number 6806694 (Why is no real title available?)
• Confidence intervals for extreme Pareto‐type quantiles
• Comparisons of approximate confidence intervals for the parameters of extreme value distribution
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
• Comparison of trend detection methods in GEV models
• A hybrid estimator for generalized pareto and extreme-value distributions

Describes a project that uses

Uses Software

• bootstrap

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