Asymptotic Normality of Extreme Quantile Estimators Based on the Peaks-Over-Threshold Approach

DOI10.1080/03610920601036317zbMath1115.62035OpenAlexW2049938201MaRDI QIDQ3593510

Jean Diebolt, Armelle Guillou, Pierre Ribereau

Publication date: 23 July 2007

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920601036317

zbMATH Keywords

maximum likelihood estimatorsgeneralized Pareto distributionextreme quantilepeaks-over-threshold approachgeneralized probability-weighted moments estimators

Mathematics Subject Classification ID

Related Items (3)

Semi-parametric tail inference through probability-weighted moments ⋮ Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles ⋮ Asymptotic normality of the extreme quantile estimator based on the POT method

Cites Work

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• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
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• A bootstrap-based method to achieve optimality in estimating the extreme-value index

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