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| Identificatore numerico | 1944 |
| Identificatore completo | BassiEmbrechtsKafetzaki97 |
| Autore/i | Bassi, F.; Embrechts, P.; Kafetzaki, M. |
| Anno | 1997 |
| Titolo | A Survival Kit on Quantile Estimation |
| Tipo di Pubblicazione | paper |
| Altre Informazioni | ETH, Zürich Web Download. |
| Keywords | Extreme Value Theory - |
| Abstract | The paper is a concise and clear survey of the main concepts and measures applied to estimating quantiles and average expected values in the tails of distributions. Measures and methodologies covered in the paper include: quantiles, QQ-plots, the mean excess function, the generalised extreme value distribution (maxima and minima, Fréchet, Gumpel and Weibull); the generalised Pareto distribution (conditional distribution function in the tails), the point process of exceedances, the peaks over thresholds (POT) method, the Hill and Picklands estimators for the tail index.
A revised version of the paper is included in Embrechts, Kluppelberg and Miklosch (1997). |
| Importanza | media |
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