Consistency of the ET method and smooth variations;Consistance de la méthode ET et variations régulières

Comptes Rendus de l'Academie des Sciences - Series I: Mathematics

Volumn 329, Issue 9, 1999, Pages 821-826

  Girard, Stéphane ^a   Diebolt, Jean ^b  

^a UNIV MONTPELLIER   (France)

^b CNRS   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0033474837     PISSN: 07644442     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0764-4442(99)90015-0     Document Type: Article

References (8)

1. Bingham N.H., Goldie C.M., Teugels J.L. 1987 Regular Variation, Encyclopedia of Mathematics and its Applications. 27:1987;Cambridge University Press.
2. Breiman L., Stone C.J., Kooperberg C. Robust confident bounds for extreme upper quantiles. J. Statis. Comput. Simul. 37:1990;127-149.
3. de Haan L., Rootzén H. On the estimation of high quantiles. J. Statis. Planning and Inference. 35:1993;1-13.
4. Embrechts P., Klüppelberg C., Mikosch T. Modelling Extremal Events. 1997;Springer.
5. Galambos J. The Asymptotic Theory of Extreme Order Statistics. 1987;R.E. Krieger publishing company.
6. Girard S., Diebolt J. On the convergence of the ET method for extreme upper quantile estimation. Technical report INRIA RR-3389. 1998;. http://www.inria.fr/RRRT/publications-fra.html.
7. o 9808. 1998;Université Montpellier II.
8. Pickands J. Statistical inference using extreme order statistics. The Ann. Statis. 3:1975;119-131.