Modified maximum spacings method for generalized extreme value distribution and applications in real data analysis

DOI10.1007/s00184-013-0469-1zbMath1305.62201OpenAlexW2078399559MaRDI QIDQ479487

Jin-Guan Lin, Chao Huang

Publication date: 5 December 2014

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-013-0469-1

zbMATH Keywords

bootstrap methodgeneralized extreme value distributionBox-Cox transformationvalue at riskinterior penalty function algorithmmaximum spacings estimate

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32)

Related Items (2)

Maximum likelihood and the maximum product of spacings from the viewpoint of the method of weighted residuals ⋮ Extreme value distributions: an overview of estimation and simulation

Uses Software

• ElemStatLearn
• ismev
• bootstrap

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The maximum \(L_q\)-likelihood method: an application to extreme quantile estimation in finance
• Statistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock data
• Estimating generalized state density of near-extreme events and its applications in analyzing stock data
• A moment estimator for the index of an extreme-value distribution
• On the consistency of the maximum spacing method
• Strong consistency of the maximum product of spacings estimates with applications in nonparametrics and in estimation of unimodal densities
• Generalized extreme value model and additively separable generator function
• Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
• Nonparametric risk management and implied risk aversion
• Maximum L\(q\)-likelihood estimation
• Sur la distribution limite du terme maximum d'une série aléatoire
• Maximum likelihood estimation in a class of nonregular cases
• A goodness-of-fit test using Moran's statistic with estimated parameters
• Asymptotic Statistics
• A general estimation method using spacings
• An introduction to statistical modeling of extreme values
• The elements of statistical learning. Data mining, inference, and prediction

This page was built for publication: Modified maximum spacings method for generalized extreme value distribution and applications in real data analysis