JOURNAL ARTICLE
High Quantiles of Heavy-Tailed Distributions: Their Estimation
Year: 2002 Journal: Automation and Remote Control Vol: 63 (8)Pages: 1263-1278 Publisher: Pleiades Publishing
Keywords:
Quantile Mathematics Logarithm Statistics Pareto principle Generalized Pareto distribution Applied mathematics Mathematical analysis Extreme value theory
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Topics
Financial Risk and Volatility Modeling
Social Sciences → Economics, Econometrics and Finance → Finance
Stochastic processes and financial applications
Social Sciences → Economics, Econometrics and Finance → Finance
Statistical Distribution Estimation and Applications
Physical Sciences → Mathematics → Statistics and Probability
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