Extreme-value analysis of teletraffic data
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- Tsourti, Zoi & Panaretos, John, 2004. "Extreme Value Analysis of Teletraffic Data," MPRA Paper 6391, University Library of Munich, Germany.
References listed on IDEAS
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- Danielsson, Jon & Vries, Casper, 1998. "Beyond the sample: extreme quantile and probability estimation," LSE Research Online Documents on Economics 119141, London School of Economics and Political Science, LSE Library.
- Paul Embrechts & Sidney Resnick & Gennady Samorodnitsky, 1999. "Extreme Value Theory as a Risk Management Tool," North American Actuarial Journal, Taylor & Francis Journals, vol. 3(2), pages 30-41.
- Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, Tilburg University, School of Economics and Management.
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- Tsourti, Zoi & Panaretos, John, 2001. "Extreme Value Index Estimators and Smoothing Alternatives: Review and Simulation Comparison," MPRA Paper 6384, University Library of Munich, Germany.
- McNeil, Alexander J., 1997. "Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory," ASTIN Bulletin, Cambridge University Press, vol. 27(1), pages 117-137, May.
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Cited by:
- Lorenzo Hern'andez & Jorge Tejero & Alberto Su'arez & Santiago Carrillo-Men'endez, 2012. "Percentiles of sums of heavy-tailed random variables: Beyond the single-loss approximation," Papers 1203.2564, arXiv.org, revised Dec 2012.
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JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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