Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions

Yuri Goegebeur; Armelle Guillou; Andrehette Verster

doi:10.1016/j.spl.2014.01.010

Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions

Yuri Goegebeur, Armelle Guillou, Andrehette Verster

Institut for Matematik og Datalogi

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

Abstract

A robust and asymptotically unbiased extreme quantile estimator is derived from a second order Pareto-type model and its asymptotic properties are studied under suitable regularity conditions. The finite sample properties of the proposed estimator are investigated with a small simulation experiment.

Originalsprog	Engelsk
Tidsskrift	Statistics & Probability Letters
Vol/bind	87
Sider (fra-til)	108-114
ISSN	0167-7152
DOI	https://doi.org/10.1016/j.spl.2014.01.010
Status	Udgivet - 2014

Dokumenter og links

10.1016/j.spl.2014.01.010

https://hal.archives-ouvertes.fr/hal-00880530/document

SDU link

Tjek adgangen til materialet i Syddansk Universitetsbiblioteks søgemaskine

Citationsformater

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title = "Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions",

abstract = "A robust and asymptotically unbiased extreme quantile estimator is derived from a second order Pareto-type model and its asymptotic properties are studied under suitable regularity conditions. The finite sample properties of the proposed estimator are investigated with a small simulation experiment.",

author = "Yuri Goegebeur and Armelle Guillou and Andrehette Verster",

year = "2014",

doi = "10.1016/j.spl.2014.01.010",

language = "English",

volume = "87",

pages = "108--114",

journal = "Statistics \& Probability Letters",

issn = "0167-7152",

publisher = "Elsevier",

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TY - JOUR

T1 - Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions

AU - Goegebeur, Yuri

AU - Guillou, Armelle

AU - Verster, Andrehette

PY - 2014

Y1 - 2014

N2 - A robust and asymptotically unbiased extreme quantile estimator is derived from a second order Pareto-type model and its asymptotic properties are studied under suitable regularity conditions. The finite sample properties of the proposed estimator are investigated with a small simulation experiment.

AB - A robust and asymptotically unbiased extreme quantile estimator is derived from a second order Pareto-type model and its asymptotic properties are studied under suitable regularity conditions. The finite sample properties of the proposed estimator are investigated with a small simulation experiment.

U2 - 10.1016/j.spl.2014.01.010

DO - 10.1016/j.spl.2014.01.010

M3 - Journal article

SN - 0167-7152

VL - 87

SP - 108

EP - 114

JO - Statistics & Probability Letters

JF - Statistics & Probability Letters

ER -

Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions

Abstract

Dokumenter og links

SDU link

Fingeraftryk

Citationsformater