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,...
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| Other Authors: | , |
| Format: | article |
| Language: | eng |
| Published: |
2010
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10400.15/123 |
| Country: | Portugal |
| Oai: | oai:repositorio.ipsantarem.pt:10400.15/123 |