Comparison of estimation methods in extreme value theory

DOI10.1080/03610929608831730zbMATH Open0875.62107OpenAlexW2082417345MaRDI QIDQ4337155FDOQ4337155

Ori Rosen, Ishay Weissman

Publication date: 19 May 1997

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929608831730

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zbMATH Keywords

Monte Carlo simulationextreme value indexlarge quantiles

Mathematics Subject Classification ID

Point estimation (62F10)

Cites Work

• Maximum likeiihood estimation of the parameters of the three-parameter generalized extreme-value distribution from censored samples
• Statistical inference using extreme order statistics
• Estimating tails of probability distributions
• A simple general approach to inference about the tail of a distribution
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• A moment estimator for the index of an extreme-value distribution
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the estimation of the extreme-value index and large quantile estimation
• Title not available (Why is that?)
• Tail estimates motivated by extreme value theory
• Refined Pickands estimators of the extreme value index
• Title not available (Why is that?)

Cited In (11)

• Title not available (Why is that?)
• Rank Preserved Aggregation Rules and Application to Reliability Allocation
• On the estimation of the extreme-value index and large quantile estimation
• An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.
• A review of extreme value threshold estimation and uncertainty quantification
• A class of Pickands-type estimators for the extreme value index
• Optimal asymptotic estimation of small exceedance probabilities
• Extreme-value analysis of teletraffic data
• A tail estimator for the index of the stable paretian distribution^∗
• Title not available (Why is that?)
• A comparison of methods for estimating the extremal index

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