A weighted composite log-likelihood approach to parametric estimation of the extreme quantiles of a distribution

HIGHLIGHTS

• who: Mathematics Subject Classification and collaborators from the Department of Statistics University have published the research: A weighted composite log-likelihood approach to parametric estimation of the extreme quantiles of a distribution, in the Journal: (JOURNAL)
• what: By exploiting the fact that the order statistics of independent and identically distributed observations form a Markov chain this work shows how one can obtain a natural weighted composite log-likelihood for fitting generalized Pareto distributions to exceedances over a threshold. Methods for extending this approach to observations that are not identically distributed are described and applied to . . .
  

   

  

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