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Theory & Methods: Estimation for Type II domain of attraction based on the W statistic
Author(s) -
Hasofer A.M.,
Li S.
Publication year - 1999
Publication title -
australian and new zealand journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 1369-1473
DOI - 10.1111/1467-842x.00076
Subject(s) - quantile , mathematics , estimator , attraction , statistic , statistics , order statistic , domain (mathematical analysis) , estimation , type (biology) , distribution (mathematics) , econometrics , mathematical analysis , ecology , philosophy , linguistics , management , economics , biology
The paper presents an estimating equation approach to the estimation of high quantiles of a distribution in the Type II domain of attraction based on the k largest order statistics. The estimators are shown to be consistent. The method fits neatly into a general scheme for estimating high quantiles irrespective of the domain of attraction, which includes Wang’s approach to optimally choosing k .