On estimation of high quantiles for certain classes of distributions

DOI10.2298/YJOR130606013SMaRDI QIDQ5278850zbMATH OpenOpenAlexFDO

Authors J. Stanojević

Publication date 19 July 2017

Published in Yugoslav Journal of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2298/yjor130606013s

zbMATH Keywords

high quantile estimationnegative dependencePareto distribution

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Nonparametric regression and quantile regression (62G08)

Recommendations

• High quantiles of heavy-tailed distributions: Their estimation
• On the estimation of high quantiles
• Estimators for a large quantile and the upper endpoint
• Estimation of quantiles of the maximum of N observations
• Estimation of the Quantiles of PARETO'S Distribution

Cited in

(7)

• On the estimation of high quantiles
• On the relative approximation error of the generalized Pareto approximation for a high quantile
• High quantile estimation and the PORT methodology
• Confidence regions for high quantiles of a heavy tailed distribution
• Pickands-type estimator for large quantile estimation of a fixed smoothing parameter
• Large deviations for method-of-quantiles estimators of one-dimensional parameters
• Inference of high quantiles of a heavy-tailed distribution from block data

This page was built for publication: On estimation of high quantiles for certain classes of distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5278850)