Estimation of Tails and Related Quantities Using the Number of Near-Extremes

DOI10.1081/STA-200047414zbMath1071.60037OpenAlexW2015416310MaRDI QIDQ4678815

Enkelejd Hashorva, Juerg Hüsler

Publication date: 23 May 2005

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sta-200047414

zbMATH Keywords

asymptotic normalitygeneralized Pareto distributionestimation of tail indexestimation of the upper endpoint

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Point estimation (62F10) Extreme value theory; extremal stochastic processes (60G70)

Related Items (18)

Asymptotic behaviour of proportions of observations in random regions determined by central order statistics from stationary processes ⋮ Numbers of near-maxima for the bivariate case ⋮ Asymptotic normality of numbers of observations near order statistics from stationary processes ⋮ Asymptotic behavior of proportions of observations falling to random regions determined by central order statistics ⋮ On kernel-based estimation of distribution function and its quantiles based on ranked set sampling ⋮ Characterization and goodness-of-fit test of Pareto and some related distributions based on near-order statistics ⋮ Some bounds for the expectations of functions on order statistics and their applications ⋮ On \(\delta\)-record observations: asymptotic rates for the counting process and elements of maximum likelihood estimation ⋮ On numbers of observations in random regions determined by records ⋮ On the asymptotics of numbers of observations in random regions determined by order statistics ⋮ Asymptotic behaviour of near-maxima of Gaussian sequences ⋮ On the mathematical theory of records ⋮ Asymptotic normality for the counting process of weak records and \(\delta \)-records in discrete models ⋮ An ergodic theorem for proportions of observations that fall into random sets determined by sample quantiles ⋮ Asymptotic normality of numbers of observations in random regions determined by order statistics ⋮ Numbers of near bivariate record-concomitant observations ⋮ LIMIT THEOREMS FOR PROPORTIONS OF OBSERVATIONS FALLING INTO RANDOM REGIONS DETERMINED BY ORDER STATISTICS ⋮ Characterizations based on the numbers of near-order statistics

Cites Work

• Statistical inference using extreme order statistics
• Tail estimation based on numbers of near \(m\)-extremes
• Non-life insurance mathematics. An introduction with stochastic processes.
• On the number of near-maximum insurance claims
• On the number of near-maximum insurance claim under dependence.
• Foundations of Modern Probability
• ON THE NUMBER OF RECORDS NEAR THE MAXIMUM
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