Modified maximum spacings method for generalized extreme value distribution and applications in real data analysis-Reference-Cited by-同舟云学术

Modified maximum spacings method for generalized extreme value distribution and applications in real data analysis

Published:2013-11-29 Issue:7 Volume:77 Page:867-894
ISSN:0026-1335
Container-title:Metrika
language:en
Short-container-title:Metrika

Author:

Huang Chao,Lin Jin-Guan

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s00184-013-0469-1.pdf

Reference42 articles.

1. Bali TG (2003) An extreme value approach to estimating volatility and value at risk. J Bus 76(1):83–108

2. Castillo E (1988) Extreme value theory in engineering. Academic Press, Boston

3. Cheng RCH, Amin NAK (1979) Maximum product of spacings estimation with application to the lognormal distribution. Math. Report 79–1, University of Wales Institute of Science and Technology, Cardiff

4. Cheng RCH, Amin NAK (1983) Estimating parameters in continuous univariate distributions with a shifted origin. J Roy Stat Soc Ser B 45:394–403

5. Cheng RCH, Stephens MA (1989) A goodness-of-fit test using Morans statistic with estimated parameters. Biometrika 76:385–392

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