Robust estimation of extremes

DOI10.2307/3315505MaRDI QIDQ4223821zbMATH OpenOpenAlexFDO

Authors C. A. Field, Debbie J. Dupuis

Publication date 6 January 1999

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3315505

zbMATH Keywords

generalized extreme-value distributionoptimal B-robust estimatesprobability-weighted moment estimatesreturn period

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Robustness and adaptive procedures (parametric inference) (62F35) Applications of statistics (62P99)

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Cites work

• Estimating Probabilities of Extreme Sea-Levels
• Estimating the probability of obtaining nonfeasible parameter estimates of the generalized extreme-value distribution
• scientific article; zbMATH DE number 4159879 (Why is no real title available?)
• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• Maximum likeiihood estimation of the parameters of the three-parameter generalized extreme-value distribution from censored samples
• Robust Bounded-Influence Tests in General Parametric Models
• Robust Estimation of a Location Parameter
• Robust Estimation: A Weighted Maximum Likelihood Approach
• Robust methods for personal‐income distribution models
• Small-Sample Confidence Intervals
• The Influence Curve and Its Role in Robust Estimation

Cited in

(25)

• Algorithms for bounded-influence estimation
• A robust estimator for the tail index of Pareto-type distributions
• Using the gh distribution to model extreme wind speeds.
• Detecting influential data points for the Hill estimator in Pareto-type distributions
• Dual divergence estimators of the tail index
• Estimating robustness
• On distributionally robust extreme value analysis
• Robust estimation by means of scaled Bregman power distances. II: Extreme values
• Robust conditional Weibull-type estimation
• On robustness of large quantile estimates of log-Gumbel and log-logistic distributions to largest elements of the observation series: Monte Carlo results vs. first order approximation.
• Optimally robust estimators in generalized Pareto models
• (Non-)robustness of maximum likelihood estimators for operational risk severity distributions
• Robust weighted likelihood estimators with an application to bivariate extreme value problems
• A Comparison of confidence intervals for generalized extreme-value distributions
• scientific article; zbMATH DE number 1336367 (Why is no real title available?)
• Estimating the probability of obtaining nonfeasible parameter estimates of the generalized extreme-value distribution
• Higher-order infinitesimal robustness
• A robust estimator of the tail index based on an exponential regression model
• Linear Regression with Extreme Value Residuals
• Robust estimation of Pareto-type tail index through an exponential regression model
• Fitting log-F models robustly, with an application to the analysis of extreme values.
• Robustness and the robust estimate
• Outlier detection based on extreme value theory and applications
• Distributionally robust tail bounds based on Wasserstein distance and f-divergence
• Distributionally robust inference for extreme value-at-risk

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Uses Software

• AS 215

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