Asymptotic normality of extreme quantile estimators based on the peaks-over-threshold approach

Communications in Statistics - Theory and Methods

Volumn 36, Issue 5, 2007, Pages 869-886

  Diebolt, Jean ^a   Guillou, Armelle ^b   Ribereau, Pierre ^c  

^a UNIVERSITÉ GUSTAVE EIFFEL   (France)

^b UNIVERSITÉ DE STRASBOURG   (France)

^c UNIV MONTPELLIER   (France)

Author keywords

Extreme quantile; Generalized Pareto distribution; Generalized probability weighted moments estimators; Maximum likelihood estimators; Peaks over threshold approach

Indexed keywords

COMPUTER SIMULATION; MAXIMUM LIKELIHOOD ESTIMATION; OPTIMIZATION; PARETO PRINCIPLE; PROBABILITY DISTRIBUTIONS;

EXTREME QUANTILES; GENERALIZED PARETO DISTRIBUTION; MAXIMUM LIKELIHOOD ESTIMATORS; PEAKS-OVER-THRESHOLD APPROACH;

ASYMPTOTIC ANALYSIS;

EID: 33947621051     PISSN: 03610926     EISSN: 1532415X     Source Type: Journal    
DOI: 10.1080/03610920601036317     Document Type: Article

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