ON THE ESTIMATION OF HIGH QUANTILES

被引：46

作者：

DEHAAN, L

ROOTZEN, H

机构：

[1] ERASMUS UNIV,INST ECONOMETR,3000 DR ROTTERDAM,NETHERLANDS

[2] UNIV LUND,S-22101 LUND,SWEDEN

来源：

JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 1993年 / 35卷 / 01期

关键词：

QUANTILE ESTIMATION; ORDER STATISTICS; EXTREME VALUES;

D O I：

10.1016/0378-3758(93)90063-C

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider the quantile estimator x(p) from Dekkers, Einmahl and de Haan Annals of Statistics 17, 1989, for n-->infinity, p = p(n) --> 0 and np(n) --> 0 (n-->infinity). This is the situation of interest when one wants to protect against a calamity which has not yet occurred. Asymptotic normality is proved under appropriate conditions. The results are applied to high water levels outside Delfzijl on the Dutch coast, and are supplemented by a small simulation study.

引用

页码：1 / 13

页数：13

共 7 条

[1] USING EXTREME VALUE THEORY TO ESTIMATE LARGE PERCENTILES [J].