Improving extreme quantile estimation via a folding procedure

Journal of Statistical Planning and Inference

Volumn 140, Issue 7, 2010, Pages 1775-1787

  You, Alexandre ^a   Schneider, Ulrike ^b   Guillou, Armelle ^c   Naveau, Philippe ^d  

^a SORBONNE UNIVERSITÉ   (France)

^b UNIVERSITY OF VIENNA   (Austria)

^c UNIVERSITÉ DE STRASBOURG   (France)

^d UNIVERSITY OF GÖTTINGEN   (Germany)

Author keywords

Extreme quantile estimation; Folding; Generalized Pareto distribution; Generalized probability weighted moments estimators; Peaks over thresholds

Indexed keywords

EID: 77949332164     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jspi.2010.01.007     Document Type: Article

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