Penultimate approximation for the distribution of the excesses
ESAIM: PS, 6 (2002) 21-31
Published online: 2002-11-15
Articles citing this article
The Citing articles tool gives a list of articles citing the current article.
The citing articles come from EDP Sciences database, as well as other publishers participating in CrossRef Cited-by Linking Program. You can set up your personal account to receive an email alert each time this article is cited by a new article (see the menu on the right-hand side of the abstract page).
Cited article:
This article has been cited by the following article(s):
Asymptotic behavior of the extrapolation error associated with the estimation of extreme quantiles
Clément Albert, Anne Dutfoy and Stéphane GirardExtremes 23 (2) 349 (2020)
https://doi.org/10.1007/s10687-019-00370-2
EVT-based estimation of risk capital and convergence of high quantiles
Matthias Degen and Paul EmbrechtsAdvances in Applied Probability 40 (03) 696 (2008)
https://doi.org/10.1017/S0001867800002755
EVT-based estimation of risk capital and convergence of high quantiles
Matthias Degen and Paul EmbrechtsAdvances in Applied Probability 40 (3) 696 (2008)
https://doi.org/10.1239/aap/1222868182
Approximation of the distribution of excesses through a generalized probability-weighted moments method
Jean Diebolt, Armelle Guillou and Imen RachedJournal of Statistical Planning and Inference 137 (3) 841 (2007)
https://doi.org/10.1016/j.jspi.2006.06.012
Approximation of the distribution of excesses using a generalized probability weighted moment method
Jean Diebolt, Armelle Guillou and Imen RachedComptes Rendus. Mathématique 340 (5) 383 (2005)
https://doi.org/10.1016/j.crma.2005.01.017
Asymptotic behaviour of the probability-weighted moments and penultimate approximation
Jean Diebolt, Armelle Guillou and Rym WormsESAIM: Probability and Statistics 7 219 (2003)
https://doi.org/10.1051/ps:2003010