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

DOI10.1080/03610918.2020.1747075OpenAlexW3014761350MaRDI QIDQ5867490FDOQ5867490

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

mixture modelsextreme value theoryquantilesgeneralized Pareto distributionFréchet distribution

Mathematics Subject Classification ID

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

Cites Work

• Bootstrap methods: another look at the jackknife
• Estimation of upper quantiles under model and parameter uncertainty.
• A review of extreme value threshold estimation and uncertainty quantification
• Statistics of Extremes
• Theory of partial likelihood
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• Title not available (Why is that?)
• Title not available (Why is that?)
• Residual life time at great age
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• Modeling loss data using mixtures of distributions
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• Sur la distribution limite du terme maximum d'une série aléatoire
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• A new distribution-free quantile estimator
• On optimising the estimation of high quantiles of a probability distribution
• Cumulative Frequency Functions
• Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique
• Calibrating Confidence Coefficients
• Approximate distributions of order statistics. With applications to nonparametric statistics
• Confidence regions for high quantiles of a heavy tailed distribution
• High volatility, thick tails and extreme value theory in value-at-risk estimation.
• Confidence intervals for quantile estimation using jackknife techniques
• Jackknife empirical likelihood method for some risk measures and related quantities
• Extending composite loss models using a general framework of advanced computational tools
• Estimating a tail of the mixture of log-normal and inverse Gaussian distribution

Cited In (3)

• Loss modeling with the size-biased lognormal mixture and the entropy regularized EM algorithm
• 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

Uses Software

• R
• BRENT

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