On the use of the peaks over thresholds method for estimating out-of-sample quantiles
| Year of publication: |
2002
|
|---|---|
| Authors: | El-Aroui, Mhamed-Ali ; Diebolt, Jean |
| Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 39.2002, 4, p. 453-475
|
| Publisher: |
Elsevier |