Estimation of extreme quantiles from heavy and light tailed distributions
DOI10.1016/J.JSPI.2012.03.025zbMATH Open1428.62199OpenAlexW2071417641MaRDI QIDQ449352FDOQ449352
Authors: Jonathan El Methni, Laurent Gardes, Stéphane Girard, Armelle Guillou 
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
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- scientific article; zbMATH DE number 6458338
asymptotic normalityextreme quantilemaximum domain of attractionPareto-type distributionsWeibull tail-distributions
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 (25)
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- Estimating extreme bivariate quantile regions
- Confidence regions for high quantiles of a heavy tailed distribution
- Tail dimension reduction for extreme quantile estimation
- Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions
- 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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