Penultimate approximation for the distribution of the excesses
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Publication:4534858
DOI10.1051/PS:2002002zbMATH Open0992.60056OpenAlexW2031649993MaRDI QIDQ4534858FDOQ4534858
Authors: Rym Worms 
Publication date: 11 June 2002
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: http://www.numdam.org/item?id=PS_2002__6__21_0
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Cites Work
- Statistical inference using extreme order statistics
- Residual life time at great age
- Rate of convergence for the generalized Pareto approximation of the excesses
- Title not available (Why is that?)
- Convergence rates for the ultimate and pentultimate approximations in extreme-value theory
- Approximation by penultimate extreme value distributions
- Penultimate limiting forms in extreme value theory
- Title not available (Why is that?)
- Rate of convergence for the generalized Pareto approximation of excess distributions
Cited In (11)
- Asymptotic behaviour of the probability-weighted moments and penultimate approximation
- Penultimate approximation for the excesses
- Title not available (Why is that?)
- Approximation of the distribution of excesses through a generalized probability-weighted moments method
- Penultimate approximations in extreme value theory
- Rate of convergence for the generalized Pareto approximation of excess distributions
- EVT-based estimation of risk capital and convergence of high quantiles
- Approximation of the distribution of excesses using a generalized probability weighted moment method
- On convergence toward an extreme value distribution in \(C[0,1]\)
- Rate of convergence for the generalized Pareto approximation of the excesses
- Asymptotic behavior of the extrapolation error associated with the estimation of extreme quantiles
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