On optimising the estimation of high quantiles of a probability distribution

DOI10.1080/0233188021000055345MaRDI QIDQ4454284zbMATH OpenOpenAlexFDO

Authors

Publication date 8 March 2004

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/0233188021000055345

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09) Statistics of extreme values; tail inference (62G32)

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Cites work

• scientific article; zbMATH DE number 3426516 (Why is no real title available?)
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• On the estimation of high quantiles
• On the maximal life span of humans
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• Sur la distribution limite du terme maximum d'une série aléatoire
• The empirical distribution function as a tail estimator
• Using a bootstrap method to choose the sample fraction in tail index estimation

Cited in

(41)

• A general estimator for the right endpoint with an application to supercentenarian women's records
• Maximum likelihood estimation of extreme value index for irregular cases
• Threshold selection in univariate extreme value analysis
• Invited article by M. Gidea: Extreme events and emergency scales
• Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
• Inference of high quantiles of a heavy-tailed distribution from block data
• On optimizing the estimation of extreme value quantiles of probability distributions
• Regularization of nonparametric frontier estimators
• Smooth tail-index estimation
• Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
• Scoring predictions at extreme quantiles
• The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
• Assessing the performance of confidence intervals for high quantiles of Burr XII and Inverse Burr mixtures
• A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators
• High quantile estimation and the PORT methodology
• On the estimation of high quantiles
• Confidence regions for high quantiles of a heavy tailed distribution
• Bayesian threshold selection for extremal models using measures of surprise
• Asymptotic comparison of the mixed moment and classical extreme value index estimators
• Semi-parametric second-order reduced-bias high quantile estimation
• Bias reduction for high quantiles
• On the estimation of extreme directional multivariate quantiles
• Asymptotic Normality of Extreme Quantile Estimators Based on the Peaks-Over-Threshold Approach
• On dealing with the unknown population minimum in parametric inference
• Bootstrapping endpoint
• Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
• Bias reduction in risk modelling: semi-parametric quantile estimation
• Comparing extreme models when the sign of the extreme value index is known
• Does bias reduction with external estimator of second order parameter work for endpoint?
• A \(\Gamma\)-moment approach to monotonic boundary estimation
• Bootstrap and empirical likelihood methods in extremes
• POT-based estimator of the ruin probability in infinite time for loss models: An application to insurance risk
• A practical method for analysing heavy tailed data
• Empirical likelihood confidence intervals for the endpoint of a distribution function
• Modelling extreme claims via composite models and threshold selection methods
• Estimation of the adjusted standard-deviatile for extreme risks
• Mixed moment estimator and location invariant alternatives
• Iterative estimation of the extreme value index
• Estimating high quantiles based on dependent circular data
• Estimation of the extreme-value index and generalized quantile plots

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