STATISTICS SEMINAR:: Confidence Intervals for High Quantiles of A Heavy Tailed Distribution

Event Details
  • Date/Time:
    • Thursday August 26, 2004
      12:00 pm - 12:00 am
  • Location: 228 ISyE main building
  • Phone:
  • URL:
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  • Fee(s):
    N/A
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Contact
Barbara Christopher
Industrial and Systems Engineering
Contact Barbara Christopher
404.385.3102
Summaries

Summary Sentence: STATISTICS SEMINAR:: Confidence Intervals for High Quantiles of A Heavy Tailed Distribution

Full Summary: STATISTICS SEMINAR:: Confidence Intervals 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 beyond observations. Under consideration is construsting
confidence intervals for high quantiles of a heavy tailed distribution.
In this talk we introduce three methods, including the normal approximation
method based on Hill's estimator, the likelihood ratio method and the
data tilting method. Our simulation study shows that the data tilting
method has a better performance in terms of the accuracy of coverage
probabilities.

Additional Information

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H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

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Seminar/Lecture/Colloquium
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Status
  • Created By: Barbara Christopher
  • Workflow Status: Published
  • Created On: Oct 8, 2010 - 7:39am
  • Last Updated: Oct 7, 2016 - 9:52pm