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Semi-parametric Bootstrap Confidence Intervals for High-Quantiles of Heavy-Tailed Distributions
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 Title & Authors
Semi-parametric Bootstrap Confidence Intervals for High-Quantiles of Heavy-Tailed Distributions
Kim, Ji-Hyun;
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 Abstract
We consider bootstrap confidence intervals for high quantiles of heavy-tailed distribution. A semi-parametric method is compared with the non-parametric and the parametric method through simulation study.
 Keywords
Heavy-tailed distribution;peaks-over-threshold method;bootstrap confidence interval;generalized Pareto distribution;
 Language
Korean
 Cited by
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Confidence Intervals for High Quantiles of Heavy-Tailed Distributions, Korean Journal of Applied Statistics, 2014, 27, 3, 461  crossref(new windwow)
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