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Estimation of High Conditional Quantiles for Heavy-Tailed Distributions

✍ Scribed by Wang, Huixia Judy; Li, Deyuan; He, Xuming

Book ID
120239713
Publisher
American Statistical Association
Year
2012
Tongue
English
Weight
417 KB
Volume
107
Category
Article
ISSN
0162-1459

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Different estimators of high quantiles, such as x c p proposed in [N.M. Markovitch, U.R. Krieger, The estimation of heavy-tailed probability density functions, their mixtures and quantiles. Computer Networks 40 (3) (2002) 459-474], Weissman's estimator x w p and the POT-method are considered. Regard