Peaks Over Random Threshold Methodology for Tail Index and High Quantile Estimation
In this paper we present a class of semi-parametric high quantile estimators which enjoy a desirable property in the presence of linear transformations of the data. Such a feature is in accordance with the empirical counterpart of the theoretical linearity of a quantile χp: χp(δX + λ) = δχp(X) + λ,...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Instituto Nacional de Estatística | Statistics Portugal
2006-11-01
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| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/37 |