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http://dx.doi.org/10.5351/CKSS.2011.18.6.717

Semi-parametric Bootstrap Confidence Intervals for High-Quantiles of Heavy-Tailed Distributions  

Kim, Ji-Hyun (Department of Statistics and Actuarial Science, Soongsil University)
Publication Information
Communications for Statistical Applications and Methods / v.18, no.6, 2011 , pp. 717-732 More about this Journal
Abstract
We consider bootstrap confidence intervals for high quantiles of heavy-tailed distribution. A semi-parametric method is compared with the non-parametric and the parametric method through simulation study.
Keywords
Heavy-tailed distribution; peaks-over-threshold method; bootstrap confidence interval; generalized Pareto distribution;
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