Confidence intervals for extreme Pareto‐type quantiles

DOI10.1111/sjos.12396zbMath1442.62080OpenAlexW2955542821MaRDI QIDQ5108971

Jan Beirlant, Tertius de Wet, Sven Buitendag

Publication date: 7 May 2020

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

Full work available at URL: https://doi.org/10.1111/sjos.12396

zbMATH Keywords

ridge regressionleast squaresconfidence intervalquantilesextreme value theorysaddle-point approximation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15) Nonparametric tolerance and confidence regions (62G15) Statistics of extreme values; tail inference (62G32)

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