Open AccessOn estimation of high quantiles for certain classes of distributions
Author(s) -
Jelena Stanojević
Publication year - 2014
Publication title -
yugoslav journal of operations research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.221
H-Index - 21
eISSN - 1820-743X
pISSN - 0354-0243
DOI - 10.2298/yjor130606013s
Subject(s) - quantile , estimator , mathematics , pareto principle , convergence (economics) , upper and lower bounds , rate of convergence , statistics , mathematical optimization , computer science , mathematical analysis , economics , computer network , economic growth , channel (broadcasting)
We investigate the rate of convergence of the direct-simulation estimator ˆ xp(n) of a large quantile xp of the Pareto and Gamma distributions. The upper bound of the probability P{|xp(n)- xp|>ε is determined. [Projekat Ministartsva nauke Republike Srbije, br. 174020: Geometry and Topology of Manifolds, Classical Mechanics and Integrable Dynamical Systems
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