Parameter Estimation for the Tail Distribution of a Random Sequence

DOI10.1080/03610918.2011.654034zbMath1347.62054OpenAlexW1988145324MaRDI QIDQ4921613

Mathias Raschke

Publication date: 13 May 2013

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2011.654034

zbMATH Keywords

jackknifegeneralized Pareto distributionextreme valuetailrandom sequencepeak over thresholddeclustering

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Bootstrap, jackknife and other resampling methods (62F40)

Uses Software

• ismev

Cites Work

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• A moment estimator for the index of an extreme-value distribution
• Extremes and related properties of random sequences and processes
• Point processes and multivariate extreme values
• Statistical inference using extreme order statistics
• Bootstrap methods: another look at the jackknife
• Estimation for the Generalized Pareto Distribution Using Maximum Likelihood and Goodness of Fit
• Maximum likelihood estimation in a class of nonregular cases
• Statistics of Extremes
• Introduction to variance estimation

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