Estimation of extreme quantiles from heavy and light tailed distributions

DOI10.1016/J.JSPI.2012.03.025zbMATH Open1428.62199OpenAlexW2071417641MaRDI QIDQ449352FDOQ449352

Stéphane Girard, Laurent Gardes, Armelle Guillou, Jonathan El Methni

Publication date: 30 August 2012

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2012.03.025

zbMATH Keywords

asymptotic normalityextreme quantilemaximum domain of attractionPareto-type distributionsWeibull tail-distributions

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30)

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Cited In (24)

• Title not available (Why is that?)
• Estimating extreme bivariate quantile regions
• Confidence regions for high quantiles of a heavy tailed distribution
• Tail dimension reduction for extreme quantile estimation
• Estimation problems for distributions with heavy tails
• Quantile predictions for elliptical random fields
• A note on estimation of percentiles and reliability in the extreme-value distribution
• Extreme quantiles estimation for actuarial applications
• Estimation of extreme quantiles from heavy and light tailed distributions
• A refined Weissman estimator for extreme quantiles
• On dealing with the unknown population minimum in parametric inference
• Estimation of extremes for heavy-tailed and light-tailed distributions in the presence of random censoring
• High quantiles of heavy-tailed distributions: Their estimation
• Sample quantiles of heavy tailed stochastic processes
• Extremal Random Forests
• Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles
• Asymptotic behavior of the extrapolation error associated with the estimation of extreme quantiles
• Estimation of Extreme Quantiles for Functions of Dependent Random Variables
• Nonparametric estimation of the conditional tail index and extreme quantiles under random censoring
• Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors
• Estimation of Tails and Related Quantities Using the Number of Near-Extremes
• Estimating Extreme Quantiles of Weibull Tail Distributions
• A new extreme quantile estimator for heavy-tailed distributions
• Inference of high quantiles of a heavy-tailed distribution from block data

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