Article ID Journal Published Year Pages File Type
1154769 Statistics & Probability Letters 2014 7 Pages PDF
Abstract

A robust and asymptotically unbiased extreme quantile estimator is derived from a second order Pareto-type model and its asymptotic properties are studied under suitable regularity conditions. The finite sample properties of the proposed estimator are investigated with a small simulation experiment.

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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions
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