Title: Extreme value theory and high quantile convergence
Abstract:In this paper we raise some issues concerning estimation of high quantiles and shortfalls using extreme value theory (EVT). We demonstrate that for a wide class of distribution, EVT does not lead to u...In this paper we raise some issues concerning estimation of high quantiles and shortfalls using extreme value theory (EVT). We demonstrate that for a wide class of distribution, EVT does not lead to uniform relative quantile convergence. Further we show that, in general, EVT does not lead to mean convergence.Read More
Publication Year: 2006
Publication Date: 2006-08-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 23
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