A Modified Quantile Estimator Using Extreme-Value Theory with Applications

DOI10.1515/EQC.2005.31zbMath1108.62050OpenAlexW2027361500MaRDI QIDQ3429948

Ronald J. M. M. Does, M. B. Vermaat, A. G. M. Steerneman

Publication date: 20 March 2007

Published in: Economic Quality Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/eqc.2005.31

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics in engineering and industry; control charts (62P30) Statistics of extreme values; tail inference (62G32)

Related Items (3)

Small-sample estimators of the quantiles of the normal, log-normal and Pareto distributions ⋮ A new financial stress index model based on support vector regression and control chart ⋮ On monitoring financial stress index with extreme value theory

Cites Work

• A moment estimator for the index of an extreme-value distribution
• On the estimation of high quantiles
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations

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