event
STATISTICS SEMINAR:: Confidence Intervals for High Quantiles of A Heavy Tailed Distribution
Primary tabs
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.
Status
- Workflow Status: Published
- Created By: Barbara Christopher
- Created: 10/08/2010
- Modified By: Fletcher Moore
- Modified: 10/07/2016
Categories
Keywords
No keywords were submitted.
Target Audience