Theory & Methods: Estimation for Type II domain of attraction based on the  W  statistic | Zendy

Hasofer A.M. | Zendy; Li S. | Zendy

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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 .

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