On the use of the peaks over thresholds method for estimating out-of-sample quantiles.

DOI10.1016/S0167-9473(01)00087-1zbMath1101.62337MaRDI QIDQ1603677

Jean Diebolt, Mhamed-Ali El-Aroui

Publication date: 15 July 2002

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

Generalized linear modelsExtreme value theoryGeneralized Pareto distributionExtreme quantilesPickands approximation

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Generalized linear models (logistic models) (62J12) Statistics of extreme values; tail inference (62G32)

Related Items (5)

Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory ⋮ Estimating a bivariate tail: a copula based approach ⋮ Threshold selection for regional peaks-over-threshold data ⋮ Asymptotic behaviour of the probability-weighted moments and penultimate approximation ⋮ Estimating Extreme Quantiles of Weibull Tail Distributions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Adaptive estimates of parameters of regular variation
• Estimating tails of probability distributions
• Statistical inference using extreme order statistics
• Nonparametric tail estimation using a double bootstrap method.
• On the impossibility of estimating densities in the extreme tail
• Exceedances over high thresholds: a guide to threshold selection
• Optimal choice of sample fraction in extreme-value estimation
• Parameter estimation for 2-parameter generalized Pareto distribution by POME
• Likelihood-based inference for extreme value model
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Large deviations of tail estimators based on the Pareto approximation
• Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
• Fitting the Generalized Pareto Distribution to Data
• Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution
• Consistance de la méthode ET et variations régulières
• Bayesian Methods in Extreme Value Modelling: A Review and New Developments
• Using a bootstrap method to choose the sample fraction in tail index estimation

This page was built for publication: On the use of the peaks over thresholds method for estimating out-of-sample quantiles.