Australian & New Zealand Journal of Statistics

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

Journal Article

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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