On optimising the estimation of high quantiles of a probability distribution

By Ana Ferreira, Laurens de Haan, Liang Peng. 2003

131 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/90d81f8659d4e9e8caccae7c6730f3cd55678517

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Citations in the corpus

Pareto Smoothed Importance Sampling (2015, methodology): “√ S has been used, for example, by Ferreira et al. (2003) and the multiplier 3 was chosen based on extensive simulation studies balancing the variance and bias.”
Estimation of tail risk based on extreme expectiles (2016, unknown): “In what concerns the intermediate levels τ n involved in both estimators n p τ n q and ξ ‹ n p τ n q , we used the same considerations as in Ferreira et al. (2003).”
Cross‐validatory extreme value threshold selection and uncertainty with application to ocean storm severity (2015, background): “Jonathan Dupuis, 1998); approaches that minimize the asymptotic mean-squared error of estimators of ξ or of extreme quantiles, under particular assumptions about the form of the upper tail of H (Hall and Welsh, 1985; Hall, 1990; Ferreira et al., 2003; Beirlant et al., 2004); specifying a model for (”
A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator (2007, background): “This has recently led researchers to consider the possibility of dealing with the bias term in an appropriate way, building new estimators, γ̂R(k) say, the so-called second-order reduced-bias estimators discussed by Peng (1998), Beirlant, Dierckx, Goegebeur, and Matthys (1999), Feuerverger and Hall ”
Likelihood‐based procedures for threshold diagnostics and uncertainty in extreme value modelling (2012, background): “Danielsson et al. (2001) and Ferreira et al. (2003) chose the number of order statistics to minimize the mean-squared error of the shape parameter and quantile estimator respectively.”
Semi-parametric and Parametric Inference of Extreme Value Models for Rainfall Data (2010, background): “Dekkers et al. (1989), Danielsson and Vries (1997) and Ferreira et al. (2003) proposed and applied different moment based estimators for the extreme value index.”
A Review of Extreme Value Threshold Estimation and Uncertainty Quantification (2012, methodology): “Ferreira et al. (2003) developed a bootstrap procedure extending that of Danielsson et al. (2001), towards optimal estimation of high quantiles (or the upper end-point) by minimisation of the asymptotic MSE.”
Estimation of the extreme-value index and generalized quantile plots (2005, result): “…¼ X n k,n H k,n max(1 ª̂Zk,n, 1): With the help of the asymptotic results obtained in Section 2, asymptotic results for the above estimators can be developed by analogy with the results given, for instance, in de Haan and Rootzén (1993), Ferreira et al. (2003) and Ferreira (2002).”
Frontiers in VaR forecasting and backtesting (2016, methodology): “Danielsson et al. (2001) and Ferreira et al. (2003) develop bootstrap methods for optimal threshold selection in the context of the Hill and GPD estimators, respectively.”