On the use of the peaks over thresholds method for estimating out-of-sample quantiles.
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Publication:1603677
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)
Generalized linear modelsExtreme value theoryGeneralized Pareto distributionExtreme quantilesPickands approximation
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
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