Estimation of upper quantiles under model and parameter uncertainty.

DOI10.1016/S0167-9473(01)00094-9MaRDI QIDQ1603681zbMATH OpenOpenAlexFDO

Authors Reza Modarres, Tapan K. Nayak, Joseph L. Gastwirth

Publication date 15 July 2002

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-9473(01)00094-9

zbMATH Keywords

Monte Carlo simulationModel selectionLikelihoodModel uncertaintyParameter uncertaintyQuantile estimationLog-symmetricTail-exponential

Mathematics Subject Classification ID

Point estimation (62F10) Monte Carlo methods (65C05)

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• A remark on the shape of the logistic distribution
• Discrimination Procedures for Separate Families of Hypotheses
• Likelihood Ratio Test for Discrimination between Two Models with Unknown Location and Scale Parameters
• On Robust Procedures
• Quantile estimation under possibly misspecified generalised linear model
• Robust Estimates of Location: Survey and Advances
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION

Cited in

(10)

• Point estimation using tail modelling for right skew populations
• Assessing the performance of confidence intervals for high quantiles of Burr XII and Inverse Burr mixtures
• Empirical likelihood ratio-based goodness-of-fit test for the logistic distribution
• A low-end quantile estimator from a right-skewed distribution
• Estimation and uncertainty quantification for extreme quantile regions
• A new goodness of fit test for the logistic distribution
• Quantile judgments of lognormal losses: an experimental investigation
• Inverse Box\,-\,Cox: the power-normal distribution
• Parameter uncertainty in exponential family tail estimation
• On robustness of large quantile estimates of log-Gumbel and log-logistic distributions to largest elements of the observation series: Monte Carlo results vs. first order approximation.

Describes a project that uses

Uses Software

• bootstrap
• EnvStats

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