A Folding Method for Extreme Quantiles Estimation
In order to estimate extreme quantiles from independent and identically distributed random variables, we propose and study a novel folding procedure that improves quantile estimates obtained from the classical Peaks-Over-Threshold method (POT) used in Extreme Value Theory. The idea behind the foldi...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Instituto Nacional de Estatística | Statistics Portugal
2010-06-01
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| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/88 |