Extreme quantile estimation in \(\delta\)-neighborhoods of generalized Pareto distributions

DOI10.1016/0167-7152(94)90229-1zbMath0804.62025OpenAlexW1979127653MaRDI QIDQ1332869

Michael Falk

Publication date: 17 January 1995

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(94)90229-1

zbMATH Keywords

boundsmodel reductionexponential distributionslocationgeneralized Pareto distributionscaledata transformationfinite sampleUMVU estimatorsestimation of extreme quantiles

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Point estimation (62F10) Order statistics; empirical distribution functions (62G30)

Related Items (3)

Some Best Parameter Estimates for Distributions with Finite Endpoint ⋮ Smooth tail-index estimation ⋮ Iterative estimation of the extreme value index

Cites Work

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• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• Asymptotic inference about a density function at an end of its range

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