Bias and size corrections in extreme value modeling

DOI10.1080/03610926.2017.1353630MaRDI QIDQ5160262zbMATH OpenOpenAlexFDO

Authors David Roodman

Publication date 28 October 2021

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

Full work available at URL https://doi.org/10.1080/03610926.2017.1353630

zbMATH Keywords

Cox-Snellextreme value theorygeneralized extreme value distributiongeneralized Pareto distributiongeomagnetic disturbancessmall-sample bias

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic properties of parametric tests (62F05) Statistics of extreme values; tail inference (62G32) Geostatistics (86A32)

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Cites work

• A modified score test statistic having chi-squared distribution to order \(n^{-1}\)
• An introduction to statistical modeling of extreme values
• Better Bootstrap Confidence Intervals
• Bias correction in ARMA models
• Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• Fitting the Generalized Pareto Distribution to Data
• scientific article; zbMATH DE number 3263751 (Why is no real title available?)
• LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
• Likelihood-based inference for extreme value model
• Nonparametric standard errors and confidence intervals
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Properties of sufficiency and statistical tests
• Statistical inference using extreme order statistics

Cited in

(10)

• Improved inference on risk measures for univariate extremes
• Bias correction in extreme value statistics with index around zero
• scientific article; zbMATH DE number 7008162 (Why is no real title available?)
• Some Second-Order Asymptotics for Extreme Value Linear Regression Models
• EXTREME VALUE DISTRIBUTIONS FOR BIASED SAMPLES
• A new class of skew distributions with climate data analysis
• Extreme value modeling with errors-in-variables in detection and attribution of changes in climate extremes
• Accounting for choice of measurement scale in extreme value modeling
• Extreme conformal prediction: reliable intervals for high-impact events
• Bias and skewness in a general extreme-value regression model

Describes a project that uses

Uses Software

• ismev

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