On estimation of high quantiles for certain classes of distributions
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 apr. 2024.
Section
Articles
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