Penultimate approximation for the distribution of the excesses

DOI10.1051/PS:2002002MaRDI QIDQ4534858zbMATH OpenOpenAlexFDO

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, https://eudml.org/doc/245324

zbMATH Keywords

rate of convergencegeneralized Pareto distributionpenultimate approximationexcesses

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Extreme value theory; extremal stochastic processes (60G70)

Recommendations

• Penultimate approximation for the excesses
• Rate of convergence for the generalized Pareto approximation of excess distributions
• A note on generalized Pareto distributions and the k upper extremes
• Rate of convergence for the generalized Pareto approximation of the excesses
• Approximation by penultimate extreme value distributions

Cites work

• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 4003248 (Why is no real title available?)
• Approximation by penultimate extreme value distributions
• Convergence rates for the ultimate and pentultimate approximations in extreme-value theory
• Penultimate limiting forms in extreme value theory
• Rate of convergence for the generalized Pareto approximation of excess distributions
• Rate of convergence for the generalized Pareto approximation of the excesses
• Residual life time at great age
• Statistical inference using extreme order statistics

Cited in

(12)

• Approximation of the distribution of excesses using a generalized probability weighted moment method
• EVT-based estimation of risk capital and convergence of high quantiles
• Approximation of the distribution of excesses through a generalized probability-weighted moments method
• Asymptotic behaviour of the probability-weighted moments and penultimate approximation
• Strong Convergence of Peaks Over a Threshold
• Rate of convergence for the generalized Pareto approximation of excess distributions
• Penultimate approximations in extreme value theory
• Asymptotic behavior of the extrapolation error associated with the estimation of extreme quantiles
• On convergence toward an extreme value distribution in \(C[0,1]\)
• scientific article; zbMATH DE number 4003248 (Why is no real title available?)
• Penultimate approximation for the excesses
• Rate of convergence for the generalized Pareto approximation of the excesses

This page was built for publication: Penultimate approximation for the distribution of the excesses

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4534858)