23 citations · 26 across the 6 of their papers we have counts for
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math.ST2013★ 2 cited
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…
math.ST2013
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…
math.ST2013
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…