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Comparison of bootstrap and generalized bootstrap methods for estimating high quantiles
Authors:Bin Wang  Satya N MishraMadhuri S Mulekar  Nutan MishraKun Huang
Institution:Department of Mathematics & Statistics, University of South Alabama, Mobile, AL 36688-0002, USA
Abstract:The generalized bootstrap is a parametric bootstrap method in which the underlying distribution function is estimated by fitting a generalized lambda distribution to the observed data. In this study, the generalized bootstrap is compared with the traditional parametric and non-parametric bootstrap methods in estimating the quantiles at different levels, especially for high quantiles. The performances of the three methods are evaluated in terms of cover rate, average interval width and standard deviation of width of the 95% bootstrap confidence intervals. Simulation results showed that the generalized bootstrap has overall better performance than the non-parametric bootstrap in high quantile estimation.
Keywords:Generalized lambda distribution  Bootstrap  Generalized bootstrap  Quantile estimation
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