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- Title
A Method for Confidence Intervals of High Quantiles.
- Authors
Huang, Mei Ling; Raney-Yan, Xiang
- Abstract
The high quantile estimation of heavy tailed distributions has many important applications. There are theoretical difficulties in studying heavy tailed distributions since they often have infinite moments. There are also bias issues with the existing methods of confidence intervals (CIs) of high quantiles. This paper proposes a new estimator for high quantiles based on the geometric mean. The new estimator has good asymptotic properties as well as it provides a computational algorithm for estimating confidence intervals of high quantiles. The new estimator avoids difficulties, improves efficiency and reduces bias. Comparisons of efficiencies and biases of the new estimator relative to existing estimators are studied. The theoretical are confirmed through Monte Carlo simulations. Finally, the applications on two real-world examples are provided.
- Subjects
MONTE Carlo method; CONFIDENCE intervals; QUANTILES; DISTRIBUTION (Probability theory); PARETO distribution
- Publication
Entropy, 2021, Vol 23, Issue 1, p70
- ISSN
1099-4300
- Publication type
Article
- DOI
10.3390/e23010070