Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions

A robust and asymptotically unbiased extreme quantile estimator is derived from a second order Pareto-type model and its asymptotic properties are studied under suitable regularity conditions. The finite sample properties of the proposed estimator are investigated with a small simulation experiment.

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Year of publication:	2014
Authors:	Goegebeur, Yuri ; Guillou, Armelle ; Verster, Andréhette
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 87.2014, C, p. 108-114
Publisher:	Elsevier
Subject:	Pareto-type distribution \| Extreme quantile \| Bias correction \| Robustness

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010752954