Inference of high quantiles of a heavy-tailed distribution from block data

DOI10.1080/02331888.2023.2228442arXiv2207.07988MaRDI QIDQ6132711FDOQ6132711

Authors: Yongcheng Qi, Mengzi Xie, Jingping Yang 

Publication date: 17 August 2023

Published in: Statistics (Search for Journal in Brave)

Abstract: In this paper we consider the estimation problem for high quantiles of a heavy-tailed distribution from block data when only a few largest values are observed within blocks. We propose estimators for high quantiles and prove that these estimators are asymptotically normal. Furthermore, we employ empirical likelihood method and adjusted empirical likelihood method to constructing the confidence intervals of high quantiles. Through a simulation study we also compare the performance of the normal approximation method and the adjusted empirical likelihood methods in terms of the coverage probability and length of the confidence intervals.

Full work available at URL: https://arxiv.org/abs/2207.07988

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zbMATH Keywords

confidence intervalempirical likelihoodhigh quantilecoverage probabilityheavy tailed distribution

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32)

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