Comparison of estimation methods in extreme value theory

DOI10.1080/03610929608831730MaRDI QIDQ4337155zbMATHOpenAlexFDO

Authors 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

zbMATH Keywords

Monte Carlo simulationextreme value indexlarge quantiles

Mathematics Subject Classification ID

Point estimation (62F10)

Recommendations

• Generalized Pickands estimators for the extreme value index
• A class of Pickands-type estimators for the extreme value index
• On the estimation of the extreme-value index and large quantile estimation
• Estimators for a large quantile and the upper endpoint
• Estimation of the extreme-value index and generalized quantile plots

Cites work

• scientific article; zbMATH DE number 3141621 (Why is no real title available?)
• scientific article; zbMATH DE number 3881695 (Why is no real title available?)
• scientific article; zbMATH DE number 193577 (Why is no real title available?)
• scientific article; zbMATH DE number 627762 (Why is no real title available?)
• A moment estimator for the index of an extreme-value distribution
• A simple general approach to inference about the tail of a distribution
• Estimating tails of probability distributions
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• Maximum likeiihood estimation of the parameters of the three-parameter generalized extreme-value distribution from censored samples
• On the estimation of the extreme-value index and large quantile estimation
• Refined Pickands estimators of the extreme value index
• Statistical inference using extreme order statistics
• Tail estimates motivated by extreme value theory

Cited in

(14)

• A study about estimation
• Optimal asymptotic estimation of small exceedance probabilities
• A class of Pickands-type estimators for the extreme value index
• Comparison of different estimation methods for extreme value distribution
• An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.
• Estimators for a large quantile and the upper endpoint
• A tail estimator for the index of the stable paretian distribution^∗
• A comparison of methods for estimating the extremal index
• scientific article; zbMATH DE number 5670603 (Why is no real title available?)
• On the estimation of the extreme-value index and large quantile estimation
• Extreme-value analysis of teletraffic data
• scientific article; zbMATH DE number 1984189 (Why is no real title available?)
• Rank preserved aggregation rules and application to reliability allocation
• A review of extreme value threshold estimation and uncertainty quantification

This page was built for publication: Comparison of estimation methods in extreme value theory

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4337155)