Approximation of Tail Probabilities Using theGn-Transform

DOI10.1081/SAC-120028430MaRDI QIDQ4454178zbMATH OpenFDO

Authors

Publication date 7 March 2004

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Mathematics Subject Classification ID

Statistical distribution theory (62E99)

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Cites work

• A New Method for Approximating Improper Integrals
• Approximation of Tail Probabilities by Means of the B n -Transformation
• Higher OrderG-Transformation

Cited in

(4)

• Tail approximations to the density function in EVT
• A recursive algorithm for the G transformation and accurate computation of incomplete Bessel functions
• Computation of tail probabilities via extrapolation methods and connection with rational and Padé approximants
• A Simple and Efficient Algorithm to Compute Tail Probabilities from Transforms

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