A new extreme quantile estimator for heavy-tailed distributions;Un nouvel estimateur des quantiles extrêmes pour des distributions à queues lourdes

Comptes Rendus Mathematique

Volumn 338, Issue 6, 2004, Pages 493-498

  Fils, Amélie ^a   Guillou, Armelle ^a  

^a SORBONNE UNIVERSITÉ   (France)

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Indexed keywords

EID: 1542378400     PISSN: 1631073X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.crma.2004.01.019     Document Type: Article

References (7)

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4. Hill B.M. A simple general approach to inference about the tail of a distribution Ann. Statist. 3 1975 1163-1174
5. Kratz M. Resnick S. The qq-estimator and heavy tails Comm. Statist. Stochastic Models 12 1996 699-724
6. Schultze J. Steinebach J. On least squares estimates of an exponential tail coefficient Statist. Decisions 14 1996 353-372
7. Weissman I. Estimation of parameters and large quantiles based on the k largest observations J. Amer. Statist. Assoc. 73 1978 812-815