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ESTIMATION OF QUANTILES FOR A FRÉCHET-TYPE DISTRIBUTION |
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| Authors: | AM Hasofer JZ Wang |
| Institution: | Statistics Dept,- La Trobe University, Bundoora, VIC 3083.;Dept of Mathematics, University of Western Sydney (Nepean), Kingswood, NSW 2747. |
| Abstract: | Estimation of high quantiles of a distribution in the domain of attraction of the Fréchet distribution is based on the extremal distribution of the k largest order statistics. The problem is treated by a local maximum likelihood method on a three parameter model. The estimators are shown to be asymptotically consistent for the whole range of the tail index parameter. |
| Keywords: | Domain of attraction extreme values Gumbel type distribution local maximum likelihood estimator shape parameter tail index |