High quantiles of heavy-tailed distributions: Their estimation

被引：0
|
作者：
Markovich, NM [1 ]
机构：
[1] Russian Acad Sci, Trapeznikov Inst Control Sci, Moscow, Russia
来源：
AUTOMATION AND REMOTE CONTROL | 2002年 / 63卷 / 08期
关键词：
D O I：
10.1023/A:1019827309501
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
High quantiles of heavy-tailed distributions are estimated under the assumption that the tail is of Pareto type. The distribution of the logarithm of the ratio of the estimate to the true quantile is asymptotically normal. The same is also proved for the Weissman estimate.
引用
收藏
页码：1263 / 1278
页数：16
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