23 citations · 26 across the 6 of their papers we have counts for
5 papers · 1 filter
A Noninformative Bayes-like Approach to Probability-Preserving Prediction of Extremes
Allan McRobie
The extrapolation of extremes to values beyond the span of stationary univariate historical data is considered from Bayesian and Frequentist perspectives. The intention is to make…
An Intuitive Curve-Fit Approach to Probability-Preserving Prediction of Extremes
Allan McRobie
A method is described for predicting extremes values beyond the span of historical data. The method - based on extending a curve fitted to a location- and scale-invariant variation…
Probability-Matching Predictors for Extreme Extremes
Allan McRobie
A location- and scale-invariant predictor is constructed which exhibits good probability matching for extreme predictions outside the span of data drawn from a variety of (stationa…
Elemental estimators for the Generalized Extreme Value tail
Allan McRobie
In a companion paper (McRobie(2013) arxiv:1304.3918), a simple set of `elemental' estimators was presented for the Generalized Pareto tail parameter. Each elemental estimator: invo…
Elemental unbiased estimators for the Generalized Pareto tail
Allan McRobie
Unbiased location- and scale-invariant `elemental' estimators for the GPD tail parameter are constructed. Each involves three log-spacings. The estimators are unbiased for finite s…