A robust prediction error criterion for pareto modelling of upper tails
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Publication:5295957
DOI10.1002/cjs.5550340406zbMath1115.62056OpenAlexW3123351385MaRDI QIDQ5295957
Maria-Pia Victoria-Feser, Debbie J. Dupuis
Publication date: 31 July 2007
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cjs.5550340406
Applications of statistics to actuarial sciences and financial mathematics (62P05) Robustness and adaptive procedures (parametric inference) (62F35) Statistics of extreme values; tail inference (62G32)
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