Penultimate approximation for the distribution of the excesses

DOI10.1051/ps:2002002zbMath0992.60056OpenAlexW2031649993MaRDI QIDQ4534858

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

zbMATH Keywords

rate of convergencepenultimate approximationgeneralized Pareto distributionexcesses

Mathematics Subject Classification ID

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

Related Items (5)

Approximation of the distribution of excesses through a generalized probability-weighted moments method ⋮ Asymptotic behavior of the extrapolation error associated with the estimation of extreme quantiles ⋮ EVT-based estimation of risk capital and convergence of high quantiles ⋮ Approximation of the distribution of excesses using a generalized probability weighted moment method ⋮ Asymptotic behaviour of the probability-weighted moments and penultimate approximation

Cites Work

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• Vitesse de convergence de l'approximation de Pareto généralisée de la loi des excès
• Convergence rates for the ultimate and pentultimate approximations in extreme-value theory
• Rate of convergence for the generalized Pareto approximation of the excesses

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