Estimation of extreme quantiles from heavy and light tailed distributions

DOI10.1016/J.JSPI.2012.03.025MaRDI QIDQ449352zbMATH OpenOpenAlexFDO

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

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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Cites work

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Cited in

(25)

• Inference of high quantiles of a heavy-tailed distribution from block data
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• Confidence regions for high quantiles of a heavy tailed distribution
• Estimating extreme bivariate quantile regions
• 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
• A new extreme quantile estimator for heavy-tailed distributions
• Estimation of Tails and Related Quantities Using the Number of Near-Extremes
• Estimating Extreme Quantiles of Weibull Tail Distributions

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