Supplementary Materials for "Refining Tail Risk Measures From the Generalized Pareto Distribution"-Reference-Cited by-同舟云学术

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Supplementary Materials for "Refining Tail Risk Measures From the Generalized Pareto Distribution"

Published:2024 Issue: Volume: Page:
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Author:

James Robert,Leung Wai Yin

Publisher

Elsevier BV

Reference12 articles.

1. Minimum distance estimation for the generalized pareto distribution;P Chen;Technometrics,2017

2. An Introduction to Statistical Modeling of Extreme Values

3. Models for exceedances over high thresholds;A C Davison;Journal of the Royal Statistical Society: Series B (Methodological),1990

4. Computing maximum likelihood estimates for the generalized pareto distribution;S D Grimshaw;Technometrics,1993

5. Parameter and quantile estimation for the generalized pareto distribution;J R Hosking;Technometrics,1987

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