Robust extreme quantile estimation for Pareto-type tails through an exponential regression model-Reference-Cited by-同舟云学术

Robust extreme quantile estimation for Pareto-type tails through an exponential regression model

Published:2023-11-30 Issue:6 Volume:30 Page:531-550
ISSN:2287-7843
Container-title:Communications for Statistical Applications and Methods
language:en
Short-container-title:Communications for Statistical Applications and Methods

Author:

Minkah Richard¹,de Wet Tertius²,Ghosh Abhik³,Yousof Haitham M.⁴

Affiliation:

1. Department of Statistics and Actuarial Science, College of Basic and Applied Sciences, University of Ghana, Ghana

2. Department of Statistics and Actuarial Science, Stellenbosch University, South Africa

3. Interdisciplinary Statistical Research Unit, Indian Statistical Institute, Kolkata, India

4. Department of Statistics, Mathematics and Insurance, Benha University, Benha 13518, Egypt

Funder

National Research Foundation

Department of Science and Technology, Government of India

Publisher

The Korean Statistical Society

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Finance,Modeling and Simulation,Statistics and Probability

Link

https://pdf.medrang.co.kr/CSAM/2023/030/CSAM030-06-531.pdf

Reference20 articles.

1. Robust and efficient estimation by minimising a density power divergence

2. Beirlant J and Matthys G (2001). Extreme quantile estimation for heavy tailed distributions (Technical report), Leuven, Belgium, Department of Mathematics, K. U. Leuven.

3. Fighting the arch–enemy with mathematics‘

4. Extremes and Robustness: A Contradiction?

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