Confidence regions for high quantiles of a heavy tailed distribution
classification
🧮 math.ST
stat.TH
keywords
methoddistributionhighquantilesconfidencedataheavyregions
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Estimating high quantiles plays an important role in the context of risk management. This involves extrapolation of an unknown distribution function. In this paper we propose three methods, namely, the normal approximation method, the likelihood ratio method and the data tilting method, to construct confidence regions for high quantiles of a heavy tailed distribution. A simulation study prefers the data tilting method.
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