A note on the asymptotic normality of the ET method for extreme quantile estimation

In this note, we establish the asymptotic distribution of the exponential tail estimator of extreme quantiles. We give sufficient conditions for the asymptotic normality and provide some illustrating examples.

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Year of publication:	2003
Authors:	Diebolt, Jean ; Girard, Stéphane
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 62.2003, 4, p. 397-405
Publisher:	Elsevier
Keywords:	Exponential tail Extreme quantiles Asymptotic distribution Second-order conditions

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005074789