Optimal asymptotic estimation of small exceedance probabilities

DOI10.1016/S0378-3758(01)00240-3zbMath0988.62029OpenAlexW2071327256MaRDI QIDQ1600743

R. Smith

Publication date: 16 June 2002

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(01)00240-3

zbMATH Keywords

bootstrapextreme valuesgeneralized Paretotail probability estimation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Nonparametric statistical resampling methods (62G09)

Related Items (5)

Estimation of the extreme-value index and generalized quantile plots ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ On univariate extreme value statistics and the estimation of reinsurance premiums ⋮ Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions ⋮ Bootstrap and empirical likelihood methods in extremes

Cites Work

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• The empirical distribution function as a tail estimator
• Comparison of estimation methods in extreme value theory
• On the maximal life span of humans
• Using a bootstrap method to choose the sample fraction in tail index estimation
• A bootstrap-based method to achieve optimality in estimating the extreme-value index

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