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Communications in Statistics - Theory and Methods Volume 25, 1996 - Issue 4
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Original Articles

Comparison of estimation methods in extreme value theory

Ori Rosen Faculty of Industrial engineering and Management, Technion Israel Institute of Technology, Haifa, 32000, Israel
&
Ishay Weissman Faculty of Industrial engineering and Management, Technion Israel Institute of Technology, Haifa, 32000, Israel
Pages 759-773 | Published online: 27 Jun 2007

Citations (11)

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Read on this site (3)

Fujun Hou. (2012) Rank Preserved Aggregation Rules and Application to Reliability Allocation. Communications in Statistics - Theory and Methods 41:21, pages 3831-3845.
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W. E. BARDSLEY & C. P. PEARSON. (1999) An experiment in subjective graphical quantile estimation applied to the generalized extreme value distribution. Hydrological Sciences Journal 44:3, pages 399-405.
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Stefan Mittnik, Marc S. Paolella & Svetlozar T. Rachev. (1998) A tail estimator for the index of the stable paretian distribution . Communications in Statistics - Theory and Methods 27:5, pages 1239-1262.
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Articles from other publishers (8)

Alexandre Lekina, Fateh Chebana & Taha B. M. J. Ouarda. (2013) Weighted estimate of extreme quantile: an application to the estimation of high flood return periods. Stochastic Environmental Research and Risk Assessment 28:2, pages 147-165.
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Amir AghaKouchak & Nasrin Nasrollahi. (2009) Semi-parametric and Parametric Inference of Extreme Value Models for Rainfall Data. Water Resources Management 24:6, pages 1229-1249.
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Zoi Tsourti & John Panaretos. (2004) Extreme-value analysis of teletraffic data. Computational Statistics & Data Analysis 45:1, pages 85-103.
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Tomasz J. Kozubowski, Anna K. Panorska & Svetlozar T. Rachev. 2003. Handbook of Heavy Tailed Distributions in Finance. Handbook of Heavy Tailed Distributions in Finance 131 167 .
Ping-Hung Hsieh. (2002) An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators. Computational Statistics & Data Analysis 40:2, pages 263-283.
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Ana Ferreira. (2002) Optimal asymptotic estimation of small exceedance probabilities. Journal of Statistical Planning and Inference 104:1, pages 83-102.
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Holger Drees. 2001. Encyclopedia of Environmetrics. Encyclopedia of Environmetrics.
Zoi Tsourti & John Panaretos. (2001) Extreme Value Index Estimators and Smoothing Alternatives: Review and Simulation Comparison. SSRN Electronic Journal.
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