Statistical choice of extreme value domains of attraction — a comparative analysis

Bibliography

• Currie , I.D. 1981 . Further percentage points of Greenwood's Statistic . J.R. Statist Soc , 144 : 360 – 363 .
   Google Scholar
• De Haan , L. 1984 . “ Slow variation and characterization of domains of attraction ” . In In Statistitcal Extremes and applications , 31 – 48 . Reidel : Dordrecht .
   Google Scholar
• Dekkers , A.L.M. 1991 . “ On Extreme value estimation ” . In Ph.D.Thesis , Rotterdam : Econometric Institute. Erasmus University .
   Google Scholar
• Dekkers , A.L.M. and De Haan , L. 1991 . On the estimation of the extreme-value index and large quantile estimation . Ann. Statist , 17 : 1795 – 1832 .
   Google Scholar
• Dekkers , A.L.M. , Einmahl , J.H.J. and De Haan , L. 1989 . A moment estimator lor the index of an extreme-value distribution . Ann. Statist , 17 : 1833 – 1855 .
   Web of Science ®Google Scholar
• Fama , F. 1963 . Mandelbrot and the stable Parctian hypothesis . Journal of Business , 36 : 420 – 429 .
   Web of Science ®Google Scholar
• Fama , E. 1965 . The Behavior of Stock Market Prices . Journal of Business , 38 : 34 – 105 .
   Web of Science ®Google Scholar
• Fraga Alves , M.I. 1992a . “ Inferencia Estatisdca em Modelos Extremals ” . In Ph.D.Thesis , Faculty of Science of University of Lisbon .
   Google Scholar
• Fraga Alves , M.I. 1992b . Estimation of the Tail Parameter in the Domain of Attraction of an Extremal Distribution . Accepted for publication in Journal of Statistical Planning and Inference ,
   Google Scholar
• Gomes , M.I. 1982 . “ A Note on Statistical Choice of Extremal Models ” . In Actas IX Jornadas Mat Hispano-Lusas , 653 – 655 . Salamanca .
   Google Scholar
• Gomes , M.I. 1987 . Extreme value theory - statistical choice , 195 – 209 . Amsterdam : North-Holland . Goodness-of-Fit
   Google Scholar
• Gomes , M.I. and Alpuim , M.T. 1986 . Inference in a multivariatc GEV model-Asymptotic properties of two test statistics . Scand. J. Statist , 13 : 291 – 300 .
   Google Scholar
• Gumbel , E.J. 1965 . A quick estimation of the parameters in Frechét's distribution . Review Intern Statist, Inst , 33 : 349 – 363 .
   Web of Science ®Google Scholar
• Greenwood , M. 1946 . The Statistical Study of infectious Diseases . J.R. Statist. Soc , 109 : 85 – 109 .
   Google Scholar
• Hasofer , A.M. and Wang , Z. 1992 . A Test for Extreme Value Domain of Attraction . J. Amer. Statist Assoc , 87 : 171 – 177 .
   Web of Science ®Google Scholar
• Hsu , D. , Miller , R.B. and Wichcm , D.W. 1974 . On the stable Parclian Behavior of Stock Market Prices . J. Amer Statist. Assoc , 69 : 108 – 113 .
   Web of Science ®Google Scholar
• Mandelbrot , B. 1960 . The Pareto-Lévy and the distribution of income . Int. Econ. Rev , 1 : 79 – 106 .
   Web of Science ®Google Scholar
• Mandelbrot , B. 1963 . The Variation of Certain Speculative Prices . Journal of Business , 36 : 394 – 419 .
   Web of Science ®Google Scholar
• Pereira , T.T. 1993 . Second order behaviour of domains of attraction and the bias of generalized Pickands estimator , University of Lisbon . Preprint
   Google Scholar
• Pickancls , J. III . 1975 . Statistical inference using extreme order statistics . Ann.Statist , 3 : 119 – 131 .
   Google Scholar
• Pyke , R. 1965 . Spacings . J, Royal Statist. Soc , 27 : 395 – 436 . Ser. B
   Google Scholar
• Stephens , M.A. 1981 . Further percentage points of Greenwood's Statistic . J.R. Statist. Soc , 144 : 364 – 366 .
   Google Scholar
• Tiago De Oliveira , J. 1981 . “ Statistical Choice of Univariate Extreme Models ” . In In Statistical Distributions in Scientific Work , Edited by: Patil , G. and Baldessari , B. Vol. 6 , 367 – 387 . Reidel : Dordrecht .
   Google Scholar