Estimation for Type II domain of attraction based on the W statistic |
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| Authors: | AM Hasofer & S Li |
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| Institution: | Victoria University of Technology,;University of Sydney |
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| Abstract: | 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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| Keywords: | estimating equation high quantiles extreme values domains of attraction order statistics |
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