A new extreme quantile estimator for heavy-tailed distributions

DOI10.1016/J.CRMA.2004.01.019zbMath1117.62050OpenAlexW2018414260MaRDI QIDQ1433394

Amélie Fils, Armelle Guillou

Publication date: 15 June 2004

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2004.01.019

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (1)

Semi-parametric estimation for heavy tailed distributions

Cites Work

• On the estimation of the extreme-value index and large quantile estimation
• A simple general approach to inference about the tail of a distribution
• On the estimation of high quantiles
• The qq-estimator and heavy tails
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
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