A refined Weissman estimator for extreme quantiles

DOI10.1007/s10687-022-00452-8OpenAlexW3174433077MaRDI QIDQ6176329

Michaël Allouche, Stéphane Girard, Jonathan El Methni

Publication date: 22 August 2023

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-022-00452-8

zbMATH Keywords

asymptotic normalitybias reductionheavy-tailed distributionextreme-value statisticsextreme quantile

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (2)

Estimation of extreme quantiles from heavy-tailed distributions with neural networks ⋮ Inference of high quantiles of a heavy-tailed distribution from block data

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