A Comparison of confidence intervals for generalized extreme-value distributions

DOI10.1080/00949659808811918zbMath0962.62024OpenAlexW2038062409MaRDI QIDQ4253243

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 intervalscoveragegeneralized extreme-value distributionprobability weighted moment estimatesoptimal bounded robust estimates

Mathematics Subject Classification ID

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

Related Items (4)

Comparison of trend detection methods in GEV models ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ A hybrid estimator for generalized pareto and extreme-value distributions ⋮ Confidence intervals based on L-moments for quantiles of the GP and GEV distributions with application to market-opening asset prices data

Uses Software

• bootstrap

Cites Work

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• Bootstrap methods: another look at the jackknife
• Small-Sample Confidence Intervals
• Better Bootstrap Confidence Intervals
• Robust estimation of extremes
• Robust Estimation: A Weighted Maximum Likelihood Approach

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