Approximation of the distribution of excesses using a generalized probability weighted moment method

DOI10.1016/J.CRMA.2005.01.017zbMath1058.62042OpenAlexW2052241559MaRDI QIDQ1771045

Imen Rached, Jean Diebolt, Armelle Guillou

Publication date: 7 April 2005

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.2005.01.017

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Statistics of extreme values; tail inference (62G32)

Cites Work

• Residual life time at great age
• Statistical inference using extreme order statistics
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Penultimate approximation for the distribution of the excesses

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