On estimation of high quantiles for certain classes of distributions

  • J. Stanojević

Abstract

We investigate the rate of convergence of the direct-simulation estimator xp(n) of a large quantile xp of the Pareto and Gamma distributions. The upper bound of the probability P{|xp(n) - xp| ≥ ε} is determined.
Published
Oct 11, 2016
How to Cite
STANOJEVIĆ, J.. On estimation of high quantiles for certain classes of distributions. Yugoslav Journal of Operations Research, [S.l.], v. 25, n. 2, oct. 2016. ISSN 2334-6043. Available at: <http://yujor.fon.bg.ac.rs/index.php/yujor/article/view/465>. Date accessed: 26 may 2020.