Assessing the performance of confidence intervals for high quantiles of Burr XII and Inverse Burr mixtures

DOI10.1080/03610918.2020.1747075MaRDI QIDQ5867490zbMATH OpenOpenAlexFDO

Authors Tatjana Miljkovic, Milan V. Jovanović, Ryan Causey

Publication date 14 September 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2020.1747075

zbMATH Keywords

extreme value theoryFréchet distributiongeneralized Pareto distributionmixture modelsquantiles

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Parametric tolerance and confidence regions (62F25)

Cites work

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Cited in

(3)

• Improved confidence intervals for the scale parameter of Burr XII model based on record values
• The Automated Bias-Corrected and Accelerated Bootstrap Confidence Intervals for Risk Measures
• Loss modeling with the size-biased lognormal mixture and the entropy regularized EM algorithm

Describes a project that uses

Uses Software

• BRENT
• R

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