Extreme Value Index Estimators and Smoothing Alternatives: Review and Simulation Comparison
Download full text from publisher
References listed on IDEAS
- Jón Daníelsson & Casper G. de Vries, 1998.
"Beyond the Sample: Extreme Quantile and Probability Estimation,"
Tinbergen Institute Discussion Papers
98-016/2, Tinbergen Institute.
- Jon Danielsson & Casper G. de Vries, 1998. "Beyond the Sample: Extreme Quantile and Probability Estimation," FMG Discussion Papers dp298, Financial Markets Group.
- M. I. Barão & J. A. Tawn, 1999. "Extremal analysis of short series with outliers: sea-levels and athletics records," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 48(4), pages 469-487.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
More about this item
KeywordsExtreme value index; Semi-parametric estimation; Smoothing modification;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:6384. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .