[Normalité asymptotique de l'estimateur d'un quantile extrême basé sur la méthode POT]
La méthode POT (pics au-delà d'un seuil) consiste à utiliser une distribution de Pareto généralisée (GPD) pour approximer la loi des excès au-delà d'un seuil. Dans cette Note, nous proposons des estimateurs de quantiles extrêmes basés sur cette méthode. Nous établissons leurs normalités asymptotiques sous des hypothèses générales.
The POT (Peaks-Over-Threshold) approach consists in using the generalized Pareto distribution (GPD) to approximate the distribution of excesses over thresholds. In this Note, we propose extreme quantile estimators based on this method. We establish their asymptotic normality under suitable general assumptions.
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@article{CRMATH_2005__341_5_307_0,
author = {Diebolt, Jean and Guillou, Armelle and Ribereau, Pierre},
title = {Asymptotic normality of the extreme quantile estimator based on the {POT} method},
journal = {Comptes Rendus. Math\'ematique},
pages = {307--312},
publisher = {Elsevier},
volume = {341},
number = {5},
year = {2005},
doi = {10.1016/j.crma.2005.06.032},
language = {en},
url = {http://www.numdam.org/articles/10.1016/j.crma.2005.06.032/}
}
TY - JOUR AU - Diebolt, Jean AU - Guillou, Armelle AU - Ribereau, Pierre TI - Asymptotic normality of the extreme quantile estimator based on the POT method JO - Comptes Rendus. Mathématique PY - 2005 SP - 307 EP - 312 VL - 341 IS - 5 PB - Elsevier UR - http://www.numdam.org/articles/10.1016/j.crma.2005.06.032/ DO - 10.1016/j.crma.2005.06.032 LA - en ID - CRMATH_2005__341_5_307_0 ER -
%0 Journal Article %A Diebolt, Jean %A Guillou, Armelle %A Ribereau, Pierre %T Asymptotic normality of the extreme quantile estimator based on the POT method %J Comptes Rendus. Mathématique %D 2005 %P 307-312 %V 341 %N 5 %I Elsevier %U http://www.numdam.org/articles/10.1016/j.crma.2005.06.032/ %R 10.1016/j.crma.2005.06.032 %G en %F CRMATH_2005__341_5_307_0
Diebolt, Jean; Guillou, Armelle; Ribereau, Pierre. Asymptotic normality of the extreme quantile estimator based on the POT method. Comptes Rendus. Mathématique, Tome 341 (2005) no. 5, pp. 307-312. doi : 10.1016/j.crma.2005.06.032. http://www.numdam.org/articles/10.1016/j.crma.2005.06.032/
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