Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles.
Abdelaati DaouiaGilles StupflerAntoine Usseglio-CarlevePublished in: Stat. Comput. (2024)
Keyphrases
- low variance
- variance reduction
- bias variance decomposition
- normal distribution
- maximum likelihood
- von mises
- unbiased estimator
- expected values
- bayesian inference
- gaussian distribution
- probabilistic inference
- bayesian networks
- inference process
- belief networks
- standard deviation
- linear gaussian
- laplace transform
- marginal distributions
- bias variance
- extreme values
- dynamic bayesian networks
- inference engine
- real valued
- multiscale