Confidence intervals based on L-moments for quantiles of the GP and GEV distributions with application to market-opening asset prices data

DOI10.1080/02664763.2020.1757046MaRDI QIDQ5861580zbMATH OpenOpenAlexFDO

Authors Tereza Šimková

Publication date 1 March 2022

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

Full work available at URL https://doi.org/10.1080/02664763.2020.1757046

zbMATH Keywords

confidence intervalgeneralized extreme-value distributiongeneralized Pareto distributionL-momentsparameter and quantile estimation

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

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Cites work

• A Comparison of confidence intervals for generalized extreme-value distributions
• A comparison of L-, LQ-, TL-moment and maximum likelihood high quantile estimates of the GPD and GEV distribution
• A Note on Order Statistics
• An Elementary Proof of Asymptotic Normality of Linear Functions of Order Statistics
• Asymptotic Distribution of Linear Combinations of Functions of Order Statistics with Applications to Estimation
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Bounds on distribution functions in terms of expectations of order- statistics
• Derivation of approximants to the inverse distribution function of a continuous univariate population from the order statistics of a sample
• Estimation of confidence intervals of quantiles for the Weibull distribution
• Estimation of quantiles and confidence intervals for the log-Gumbel distribution
• scientific article; zbMATH DE number 4153678 (Why is no real title available?)
• scientific article; zbMATH DE number 3917511 (Why is no real title available?)
• scientific article; zbMATH DE number 4007433 (Why is no real title available?)
• INTERRELATIONS BETWEEN CERTAIN LINEAR SYSTEMATIC STATISTICS OF SAMPLES FROM ANY CONTINUOUS POPULATION
• L-moments of the Birnbaum-Saunders distribution and its extreme value version: estimation, goodness of fit and application to earthquake data
• Linear estimates with polynomial coefficients
• Linear functions of order statistics with smooth weight functions
• Linear Statistical Inference and its Applications
• On a Characterization of Distributions by Expected Values of Extreme Order Statistics
• Parameter and Quantile Estimation for the Generalized Pareto Distribution

Describes a project that uses

Uses Software

• R
• LMOMENTS
• Mathematica

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