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http://dx.doi.org/10.5351/KJAS.2014.27.3.461

Confidence Intervals for High Quantiles of Heavy-Tailed Distributions  

Kim, Ji-Hyun (Department of Statistics and Actuarial Science, Soongsil University)
Publication Information
The Korean Journal of Applied Statistics / v.27, no.3, 2014 , pp. 461-473 More about this Journal
Abstract
We consider condence intervals for high quantiles of heavy-tailed distribution. The asymptotic condence intervals based on the limiting distribution of estimators are considered together with bootstrap condence intervals. We can also apply a non-parametric, parametric and semi-parametric approach to each of these two kinds of condence intervals. We considered 11 condence intervals and compared their performance in actual coverage probability and the length of condence intervals. Simulation study shows that two condence intervals (the semi-parametric asymptotic condence interval and the semi-parametric bootstrap condence interval using pivotal quantity) are relatively more stable under the criterion of actual coverage probability.
Keywords
Delta method; bootstrap; peaks-over-threshold; generalized Pareto distribution;
Citations & Related Records
Times Cited By KSCI : 1  (Citation Analysis)
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