On the use of the peaks over thresholds method for estimating out-of-sample quantiles. (Q1603677)
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scientific article; zbMATH DE number 1767881
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the use of the peaks over thresholds method for estimating out-of-sample quantiles. |
scientific article; zbMATH DE number 1767881 |
Statements
On the use of the peaks over thresholds method for estimating out-of-sample quantiles. (English)
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15 July 2002
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Extreme quantiles
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Extreme value theory
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Generalized linear models
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Generalized Pareto distribution
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Pickands approximation
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