A note on the asymptotic normality of the ET method for extreme quantile estimation.

DOI10.1016/S0167-7152(03)00045-2zbMath1116.62316MaRDI QIDQ1423230

Jean Diebolt, Stéphane Girard

Publication date: 14 February 2004

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

zbMATH Keywords

Asymptotic distributionconditionsExtreme quantilesExponential tailSecond-order

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)

Related Items (3)

Asymptotic behavior of the extrapolation error associated with the estimation of extreme quantiles ⋮ Empirical likelihood based confidence regions for first order parameters of heavy-tailed distribu\-tions ⋮ Estimating Extreme Quantiles of Weibull Tail Distributions

Cites Work

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• Estimating tails of probability distributions
• Statistical inference using extreme order statistics
• Second-order regular variation and rates of convergence in extreme-value theory
• On the estimation of high quantiles
• Approximation de Pareto généralisée pour une loi dans le domaine d'attraction de Fréchet ou de Gumbel : erreur relative sur un quantile extrême
• Robust confidence bounds for extreme upper quantiles
• Propriété asymptotique des excès additifs et valeurs extrêmes: le cas de la loi de Gumbel
• Consistance de la méthode ET et variations régulières

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