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Tail estimates motivated by extreme-value theory

Published online by Cambridge University Press:  01 July 2016

Richard Davis  and
Sidney Resnick
Richard Davis*
Affiliation:
Colorado State University
Sidney Resnick*
Affiliation:
Colorado State University
*
∗Partially supported by NSF Grant MCS 08202335 and AFOSR F49629 82 c 009.
∗∗Partially supported by NSF Grant MCS 08202335.
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Abstract

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Type
Inference for Stochastic Processes
Information
Advances in Applied Probability , Volume 17 , Issue 2 , June 1985 , pp. 254 - 256
Copyright
Copyright © Applied Probability Trust 1985 

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References

Breiman, L., Stone, C., and Ginns, J. (1979) New methods for estimating tail probabilities and extreme value distributions. Tech. Rept. #TSC-PD-A266-1, Technology Service Corp., Santa Monica, California 90405.Google Scholar
Dumouchel, W. (1983) Estimating the stable index a in order to measure tail thickness. Ann. Statist. 11, 1019–1036.Google Scholar
Hill, B. M. (1975) A simple general approach to inference about the tail of a distribution. Ann. Statist. 3, 1163–1174.Google Scholar
Pickands, J. (1975) Statistical inference using extreme order statistics. Ann. Statist. 3, 119–131.Google Scholar
Weissman, I. (1978) Estimation of parameters and quantiles based on the k largest observations. J. Amer. Statist. Assoc. 73, 812–815.Google Scholar