A Folding Method for Extreme Quantiles Estimation

Autor:	Armelle Guillou, Philippe Naveau, Alexandre You
Jazyk:	angličtina
Rok vydání:	2010
Předmět:	extreme quantile estimation peaks-over-thresholds generalized Pareto distribution folding generalized probability-weighted moments estimators Statistics HA1-4737 Probabilities. Mathematical statistics QA273-280
Zdroj:	Revstat Statistical Journal, Vol 8, Iss 1 (2010)
Druh dokumentu:	article
ISSN:	1645-6726 2183-0371
DOI:	10.57805/revstat.v8i1.88
Popis:	In order to estimate extreme quantiles from independent and identically distributed random variables, we propose and study a novel folding procedure that improves quantile estimates obtained from the classical Peaks-Over-Threshold method (POT) used in Extreme Value Theory. The idea behind the folding approach is to connect the part of a distribution above a given threshold with the one below it. A simplified version of this approach was studied by You et al. (2010). In this paper, an extension based on two thresholds is proposed to better combine the folding scheme with the POT approach. Simulations indicate that this new strategy leads to improved extreme quantiles estimates for finite samples. Asymptotic normality of the folded POT estimators is also derived.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/ab93e54e6a094bdca827eb915fcd5ef4 Zobrazit plný text záznamu View record in DOAJ