Reiss and Thomas' automatic selection of the number of extremes

Computational Statistics and Data Analysis

Volumn 47, Issue 4, 2004, Pages 689-704

  Neves, Cláudia ^a   Alves, M I Fraga ^b  

^a UNIVERSITY OF AVEIRO   (Portugal)

^b UNIVERSITY OF LISBON   (Portugal)

Author keywords

Generalized extreme value distribution; Generalized Pareto distribution; Mean squared error; Regular variation; Semi parametric estimation; Simulation

Indexed keywords

ASYMPTOTIC STABILITY; ERRORS; FUNCTIONS; NUMBER THEORY; STATISTICAL METHODS;

GENERALIZED EXTREME VALUE DISTRIBUTION; GENERALIZED PARETO DISTRIBUTION; MEAN SQUARED ERROR; REGULAR VARIATION; SEMI-PARAMETRIC ESTIMATION;

PARAMETER ESTIMATION;

EID: 8344253666     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2003.11.011     Document Type: Article

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