Extreme quantiles and tail index of a distribution based on kernel estimator

DOI10.1016/j.jkss.2018.09.002zbMath1411.62123OpenAlexW2897302639MaRDI QIDQ1726172

Zuhair Bahraoui, Mohamed Amin Bahraoui

Publication date: 19 February 2019

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2018.09.002

zbMATH Keywords

regular variationextreme value distributionnonparametric estimationsymmetric beta distribution

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Statistics of extreme values; tail inference (62G32)

Uses Software

• KernSmooth
• ismev
• QRM
• extRemes

Cites Work

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• Bootstrap variance estimation for Nadaraya quantile estimator
• Kernel estimates of the tail index of a distribution
• Time series: theory and methods.
• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• Ordering probability distributions by tail behavior
• A nonparametric approach to calculating value-at-risk
• A new distribution-free quantile estimator
• Nonparametric Statistical Data Modeling
• Statistics of Extremes
• Convolutions of Distributions Attracted to Stable Laws
• An introduction to statistical modeling of extreme values

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