Semi-parametric probability-weighted moments estimation revisited

DOI10.1007/s11009-012-9295-6zbMath1284.62297OpenAlexW2009564021MaRDI QIDQ2445488

Frederico Caeiro, B. Vandewalle, M. Ivette Gomes

Publication date: 14 April 2014

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10362/118351

zbMATH Keywords

heavy tailsvalue-at-riskhigh quantilessemi-parametric estimationprobability of exceedance of high levels

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)

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