Estimation of extreme quantiles from heavy and light tailed distributions

Jonathan El Methni; Laurent Gardès; Stéphane Girard; Armelle Guillou

doi:10.1016/j.jspi.2012.03.025

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Estimation of extreme quantiles from heavy and light tailed distributions

Jonathan El Methni Laurent Gardès Stéphane Girard Armelle Guillou

Year: 2012 Journal: Journal of Statistical Planning and Inference Vol: 142 (10)Pages: 2735-2747 Publisher: Elsevier BV

DOI: 10.1016/j.jspi.2012.03.025

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Keywords:

Quantile Weibull distribution Estimator Mathematics Extreme value theory Generalized Pareto distribution Pareto principle Pareto distribution Heavy-tailed distribution Statistics Applied mathematics Probability distribution

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Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Statistical Distribution Estimation and Applications

Physical Sciences → Mathematics → Statistics and Probability

Hydrology and Drought Analysis

Physical Sciences → Environmental Science → Global and Planetary Change

Estimation of extreme quantiles from heavy and light tailed distributions

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