Optimal asymptotic estimation of small exceedance probabilities

被引：8

作者：

Ferreira, A ^{[1
]}

机构：

[1] Tech Univ Eindhoven, EURANDOM, NL-5600 MB Eindhoven, Netherlands

来源：

JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 2002年 / 104卷 / 01期

关键词：

generalized pareto; tail probability estimation; extreme values; bootstrap;

D O I：

10.1016/S0378-3758(01)00240-3

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

For the estimation of the probability of a tail set beyond the range of the observations an estimator based on Pareto tails can be used, We calculate the optimum number of upper order statistics used for this estimator, in the mean square error sense. Moreover, an adaptive procedure is given to find this optimum in a practical situation. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：83 / 102

页数：20

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