scientific article; zbMATH DE number 488428

MaRDI QIDQ4277809zbMATH OpenFDO

Authors Holger Drees

Publication date 9 January 1994

zbMATH Keywords

asymptotic normalityMonte Carloasymptotic efficiencyPoisson processesorder statisticsinvariance principlePickands estimatortwo-sided testsextreme value distributionsPoisson approximationspoint processes of exceedancesPickands processindex estimationlarge quantile estimationone- sided testsvon Mises parametrization

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Asymptotic properties of parametric tests (62F05)

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Cited in

(8)

• Improved interexceedance-times-based estimator of the extremal index using truncated distribution
• A class of Pickands-type estimators for the extreme value index
• scientific article; zbMATH DE number 597912 (Why is no real title available?)
• Excess functions and estimation of the extreme-value index
• Refined Pickands estimators of the extreme value index
• Iterative estimation of the extreme value index
• An estimator for the extreme-value index
• scientific article; zbMATH DE number 2188973 (Why is no real title available?)

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