Robust estimation of extremes

DOI10.2307/3315505zbMath0915.62017OpenAlexW1996225558MaRDI QIDQ4223821

C. A. Field, Debbie J. Dupuis

Publication date: 6 January 1999

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3315505

zbMATH Keywords

generalized extreme-value distributionreturn periodoptimal B-robust estimatesprobability-weighted moment estimates

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Extreme value theory; extremal stochastic processes (60G70) Applications of statistics (62P99)

Related Items (14)

A Comparison of confidence intervals for generalized extreme-value distributions ⋮ Outlier detection based on extreme value theory and applications ⋮ Dual divergence estimators of the tail index ⋮ Estimating the probability of obtaining nonfeasible parameter estimates of the generalized extreme-value distribution ⋮ Using the \(gh\) distribution to model extreme wind speeds. ⋮ Higher-Order Infinitesimal Robustness ⋮ Fitting log-\(F\) models robustly, with an application to the analysis of extreme values. ⋮ (Non-)robustness of maximum likelihood estimators for operational risk severity distributions ⋮ Detecting influential data points for the Hill estimator in Pareto-type distributions ⋮ Algorithms for bounded-influence estimation ⋮ A robust estimator for the tail index of Pareto-type distributions ⋮ Robust conditional Weibull-type estimation ⋮ Robust estimation of Pareto-type tail index through an exponential regression model ⋮ Robust weighted likelihood estimators with an application to bivariate extreme value problems

Uses Software

• AS 215

Cites Work

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• Small-Sample Confidence Intervals
• Maximum likeiihood estimation of the parameters of the three-parameter generalized extreme-value distribution from censored samples
• The Influence Curve and Its Role in Robust Estimation
• Robust methods for personal‐income distribution models
• Robust Bounded-Influence Tests in General Parametric Models
• Estimating the probability of obtaining nonfeasible parameter estimates of the generalized extreme-value distribution
• Estimating Probabilities of Extreme Sea-Levels
• Robust Estimation: A Weighted Maximum Likelihood Approach
• Robust Estimation of a Location Parameter

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