3 papers
stat.ME2011
Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling
Jean Diebolt, Mhamed El-Aroui, Myriam Garrido +1
We present a quasi-conjugate Bayes approach for estimating Generalized Pareto Distribution (GPD) parameters, distribution tails and extreme quantiles within the Peaks-Over-Threshol…
stat.ME2011
Bias-reduced extreme quantiles estimators of Weibull-tail distributions
Jean Diebolt, Laurent Gardes, Stéphane Girard +1
In this paper, we consider the problem of estimating an extreme quantile of a Weibull tail-distribution. The new extreme quantile estimator has a reduced bias compared to the more…
math.ST2011
Bias-reduced estimators of the Weibull tail-coefficient
J. Diebolt, L. Gardes, S. Girard +1
In this paper, we consider the problem of the estimation of a Weibull tail-coefficient. In particular, we propose a regression model, from which we derive a bias-reduced estimator.…