Asymptotic behavior of the extrapolation error associated with the estimation of extreme quantiles
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics, Econometrics and Finance (miscellaneous),Engineering (miscellaneous),Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s10687-019-00370-2.pdf
Reference27 articles.
1. Albert, C., Dutfoy, A., Gardes, L., Girard, S.: An extreme quantile estimator for the log-generalized Weibull-tail model. Econometrics and Statistics, to appear (2019)
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3. Beirlant, J., Broniatowski, M., Teugels, J., Vynckier, P.: The mean residual life function at great age: Applications to tail estimation. J. Stat. Plan. Infer. 45(1-2), 21–48 (1995)
4. Beirlant, J., Raoult, J.-P., Worms, R.: On the relative approximation error of the generalized Pareto approximation for a high quantile. Extremes 13, 335–360 (2003)
5. Bingham, N.H., Goldie, C.M., Teugels, J.L.: Regular Variation, volume 27 of Encyclopedia of Mathematics and its application. Cambridge University Press (1987)
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