Semi-parametric Bootstrap Confidence Intervals for High-Quantiles of Heavy-Tailed Distributions
نویسندگان
چکیده
منابع مشابه
Confidence Regions for High Quantiles of a Heavy Tailed Distribution
Estimating high quantiles plays an important role in the context of risk management. This involves extrapolation of an unknown distribution function. In this paper we propose three methods, namely, the normal approximation method, the likelihood ratio method and the data tilting method, to construct confidence regions for high quantiles of a heavy tailed distribution. A simulation study prefers...
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Estimation of High Conditional Quantiles for HeavyTailed Distributions Huixia Judy Wang a , Deyuan Li b & Xuming He c a Department of Statistics , North Carolina State University , Raleigh , NC , 27695 b Department of Statistics , Fudan University , Shanghai , 200433 , China c Department of Statistics , University of Michigan Accepted author version posted online: 12 Sep 2012.Published online: ...
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ژورنال
عنوان ژورنال: Communications for Statistical Applications and Methods
سال: 2011
ISSN: 2287-7843
DOI: 10.5351/ckss.2011.18.6.717