Australian & New Zealand Journal of Statistics
Theory & Methods: Estimation for Type II domain of attraction based on the W statistic
Journal Article
- Author(s): A.M. Hasofer, S. Li
- Article first published online: 18 Dec 2002
- DOI: 10.1111/1467-842X.00076
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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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