Confidence regions for high quantiles of a heavy tailed distribution

Liang Peng, Yongcheng Qi

Research output: Contribution to journalArticlepeer-review

23 Scopus citations

Abstract

Estimating high quantiles plays an important role in the context of risk management. This involves extrapolation of an unknown distribution function. In this paper we propose three methods, namely, the normal approximation method, the likelihood ratio method and the data tilting method, to construct confidence regions for high quantiles of a heavy tailed distribution. A simulation study prefers the data tilting method.

Original languageEnglish (US)
Pages (from-to)1964-1986
Number of pages23
JournalAnnals of Statistics
Volume34
Issue number4
DOIs
StatePublished - Aug 2006

Keywords

  • Confidence region
  • Data tilting
  • Empirical likelihood method
  • Heavy tail
  • High quantile

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