Improving extreme quantile estimation via a folding procedure

DOI10.1016/j.jspi.2010.01.007zbMath1184.62075OpenAlexW2001982143WikidataQ116752844 ScholiaQ116752844MaRDI QIDQ963870

Philippe Naveau, Ulrike Schneider, Armelle Guillou, Alexandre You

Publication date: 14 April 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.01.007

zbMATH Keywords

foldinggeneralized Pareto distributionextreme quantile estimationgeneralized probability-weighted moments estimatorspeaks-over-thresholds

Mathematics Subject Classification ID

Related Items (2)

A folding methodology for multivariate extremes: estimation of the spectral probability measure and actuarial applications ⋮ Estimation of High Conditional Quantiles for Heavy-Tailed Distributions

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