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Asymptotic Normality of Extreme Quantile Estimators Based on the Peaks-Over-Threshold Approach

✍ Scribed by Diebolt, Jean; Guillou, Armelle; Ribereau, Pierre

Book ID
127288785
Publisher
Taylor and Francis Group
Year
2007
Tongue
English
Weight
441 KB
Volume
36
Category
Article
ISSN
0361-0926

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πŸ“œ SIMILAR VOLUMES

A note on the asymptotic normality of th
A note on the asymptotic normality of the ET method for extreme quantile estimation
✍ Jean Diebolt; StΓ©phane Girard πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 224 KB

In this note, we establish the asymptotic distribution of the exponential tail estimator of extreme quantiles. We give su cient conditions for the asymptotic normality and provide some illustrating examples.