Reiss and Thomas' automatic selection of the number of extremes
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Publication:957044
DOI10.1016/j.csda.2003.11.011zbMath1430.62096MaRDI QIDQ957044
M. Isabel Fraga Alves, Cláudia Neves
Publication date: 26 November 2008
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2003.11.011
simulation; mean squared error; regular variation; semiparametric estimation; generalized extreme value distribution; generalized Pareto distribution
62F12: Asymptotic properties of parametric estimators
62G32: Statistics of extreme values; tail inference