Comparison of estimation methods in extreme value theory

DOI10.1080/03610929608831730zbMath0875.62107OpenAlexW2082417345MaRDI QIDQ4337155

Ori Rosen, Ishay Weissman

Publication date: 19 May 1997

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

Full work available at URL: https://doi.org/10.1080/03610929608831730

zbMATH Keywords

Monte Carlo simulationextreme value indexlarge quantiles

Mathematics Subject Classification ID

Point estimation (62F10)

Related Items

Rank Preserved Aggregation Rules and Application to Reliability Allocation ⋮ Extreme-value analysis of teletraffic data ⋮ A tail estimator for the index of the stable paretian distribution^∗ ⋮ Optimal asymptotic estimation of small exceedance probabilities ⋮ An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.

Cites Work

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• Estimating tails of probability distributions
• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• Refined Pickands estimators of the extreme value index
• Maximum likeiihood estimation of the parameters of the three-parameter generalized extreme-value distribution from censored samples
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations

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