On optimizing the estimation of extreme value quantiles of probability distributions

zbMATH Open1174.62413MaRDI QIDQ5320118FDOQ5320118

Authors: Zi-Sheng Ouyang, Neiping Chen, Xiangqun Yang 

Publication date: 22 July 2009

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zbMATH Keywords

bootstrapextreme value index

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09) Statistics of extreme values; tail inference (62G32)

Cited In (15)

• On distributionally robust extreme value analysis
• On optimization and extreme value theory
• A bootstrap-based method to achieve optimality in estimating the extreme-value index
• A note on estimation of percentiles and reliability in the extreme-value distribution
• Extreme quantiles estimation for actuarial applications
• On the estimation of extreme directional multivariate quantiles
• Optimal asymptotic estimation of small exceedance probabilities
• On quantile estimation by bootstrap
• Defining sample quantiles by the true rank probability
• Estimation and uncertainty quantification for extreme quantile regions
• On optimising the estimation of high quantiles of a probability distribution
• A Modified Quantile Estimator Using Extreme-Value Theory with Applications
• Extreme value estimation for a function of a random sample using binomial moments scheme and Boolean functions of events
• Title not available (Why is that?)
• A new extreme quantile estimator for heavy-tailed distributions

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