Confidence intervals for extreme Pareto‐type quantiles

DOI10.1111/SJOS.12396MaRDI QIDQ5108971zbMATH OpenOpenAlexFDO

Authors Sven Buitendag, J. Beirlant, Tertius de Wet

Publication date 7 May 2020

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/sjos.12396

zbMATH Keywords

confidence intervalridge regressionextreme value theoryleast squaresquantilessaddle-point approximation

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Nonparametric regression and quantile regression (62G08) Nonparametric tolerance and confidence regions (62G15) Statistics of extreme values; tail inference (62G32) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(10)

• Adaptive confidence intervals for the tail coefficient in a wide second order class of Pareto models
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• A Comparison of confidence intervals for generalized extreme-value distributions
• Generalized fiducial confidence intervals for extremes
• Confidence regions for high quantiles of a heavy tailed distribution
• An investigation of quantile function estimators relative to quantile confidence interval coverage
• Nonparametric asymptotic confidence intervals for extreme quantiles
• Joint behavior of point processes of clusters and partial sums for stationary bivariate Gaussian triangular arrays
• Confidence intervals and accuracy estimation for heavy-tailed generalized Pareto distributions
• Improved inference on risk measures for univariate extremes

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