Extreme quantile estimation for dependent data, with applications to finance

Bernoulli ◽

10.3150/bj/1066223272 ◽

2003 ◽

Vol 9 (4) ◽

pp. 617-657 ◽

Author(s):

Holger Drees

Keyword(s):

Quantile Estimation ◽

Dependent Data ◽

Extreme Quantile

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Time-variant nonparametric extreme quantile estimation with application to US temperature data

South African Statistical Journal ◽

10.37920/sasj.2021.55.2.1 ◽

2021 ◽

Vol 55 (2) ◽

pp. 87-108

Author(s):

Mohammed Chowdhury ◽

Bogdan Gadidov ◽

Linh Le ◽

Yan Wang ◽

Lewis VanBrackle

Keyword(s):

Temperature Data ◽

Quantile Estimation ◽

Extreme Quantile

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Extreme quantile estimation forβ-mixing time series and applications

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2018.09.004 ◽

2018 ◽

Vol 83 ◽

pp. 59-74

Author(s):

Valérie Chavez-Demoulin ◽

Armelle Guillou

Keyword(s):

Time Series ◽

Mixing Time ◽

Quantile Estimation ◽

Extreme Quantile

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Conditional quantile estimation with truncated, censored and dependent data

Chinese Annals of Mathematics Series B ◽

10.1007/s11401-015-0905-9 ◽

2015 ◽

Vol 36 (6) ◽

pp. 969-990

Author(s):

Hanying Liang ◽

Deli Li ◽

Tianxuan Miao

Keyword(s):

Quantile Estimation ◽

Dependent Data ◽

Conditional Quantile

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Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models

Naval Research Logistics (NRL) ◽

10.1002/nav.21938 ◽

2020 ◽

Vol 67 (7) ◽

pp. 524-547

Author(s):

Qiyun Pan ◽

Eunshin Byon ◽

Young Myoung Ko ◽

Henry Lam

Keyword(s):

Importance Sampling ◽

Computer Models ◽

Black Box ◽

Quantile Estimation ◽

Adaptive Importance Sampling ◽

Extreme Quantile

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Extreme quantile estimation from censored sample using partial cross-entropy and fractional partial probability weighted moments

Structural Safety ◽

10.1016/j.strusafe.2008.03.002 ◽

2009 ◽

Vol 31 (1) ◽

pp. 43-54 ◽

Author(s):

Jian Deng ◽

M.D. Pandey ◽

Desheng Gu

Keyword(s):

Quantile Estimation ◽

Cross Entropy ◽

Extreme Quantile ◽

Probability Weighted Moments ◽

Partial Probability ◽

Censored Sample

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Extreme Quantile Estimation Based on the Tail Single-index Model

Statistica Sinica ◽

10.5705/ss.202020.0051 ◽

2022 ◽

Author(s):

Wen Xu ◽

Huixia Judy Wang ◽

Deyuan Li

Keyword(s):

Quantile Estimation ◽

Extreme Quantile ◽

Single Index ◽

Index Model ◽

Single Index Model

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Hurricane Loss Modeling and Extreme Quantile Estimation

10.25148/etd.fi12041106 ◽

2012 ◽

Author(s):

Fan Yang

Keyword(s):

Quantile Estimation ◽

Extreme Quantile ◽

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Tail dimension reduction for extreme quantile estimation

Extremes ◽

10.1007/s10687-017-0300-x ◽

2017 ◽

Vol 21 (1) ◽

pp. 57-95 ◽

Author(s):

Laurent Gardes

Keyword(s):

Dimension Reduction ◽

Quantile Estimation ◽

Extreme Quantile

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Improving extreme quantile estimation via a folding procedure

Journal of Statistical Planning and Inference ◽

10.1016/j.jspi.2010.01.007 ◽

2010 ◽

Vol 140 (7) ◽

pp. 1775-1787 ◽

Author(s):

Alexandre You ◽

Ulrike Schneider ◽

Armelle Guillou ◽

Philippe Naveau

Keyword(s):

Quantile Estimation ◽

Extreme Quantile

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A matching prior for extreme quantile estimation of the generalized Pareto distribution

Journal of Statistical Planning and Inference ◽

10.1016/j.jspi.2009.12.012 ◽

2010 ◽

Vol 140 (6) ◽

pp. 1513-1518 ◽

Author(s):

Kwok-Wah Ho

Keyword(s):

Pareto Distribution ◽

Generalized Pareto Distribution ◽

Quantile Estimation ◽

Extreme Quantile ◽

Generalized Pareto

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