Generalized fiducial confidence intervals for extremes

DOI10.1007/s10687-011-0127-9zbMath1329.62237OpenAlexW1979139554MaRDI QIDQ132672

Jan Hannig, Damian V. Wandler, Damian V. Wandler

Publication date: 15 January 2011

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-011-0127-9

zbMATH Keywords

MCMCfiducial inferencepeaks over thresholdextreme quantile

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to environmental and related topics (62P12) Nonparametric estimation (62G05) Point estimation (62F10) Applications of statistics in engineering and industry; control charts (62P30) Statistics of extreme values; tail inference (62G32)

Related Items (8)

Covariance estimation via fiducial inference ⋮ Method G: Uncertainty Quantification for Distributed Data Problems Using Generalized Fiducial Inference ⋮ On the dependent competing risks using Marshall–Olkin bivariate Weibull model: Parameter estimation with different methods ⋮ Unnamed Item ⋮ Confidence distributions: a review ⋮ gfiExtremes ⋮ Fiducial inference for Birnbaum-Saunders distribution ⋮ Meta-Analysis With Fixed, Unknown, Study-Specific Parameters

Uses Software

• R
• LMOMENTS
• ismev

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A default Bayesian procedure for the generalized Pareto distribution
• Statistical inference using extreme order statistics
• Exceedances over high thresholds: a guide to threshold selection
• A dynamical mixture model for unsupervised tail estimation without threshold selection
• R. A. Fisher and the fiducial argument
• Accounting for the threshold uncertainity in extreme value estimation
• A Diagnostic for Selecting the Threshold in Extreme Value Analysis
• Generalized Confidence Intervals
• Default Bayesian goodness-of-fit tests for the skew-normal model
• Generalized fiducial inference for wavelet regression
• Maximum likelihood estimation in a class of nonregular cases
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Fiducial Generalized Confidence Intervals
• An introduction to statistical modeling of extreme values

This page was built for publication: Generalized fiducial confidence intervals for extremes