On estimation of high quantiles for certain classes of distributions
DOI:
https://doi.org/10.2298/YJOR130606013SKeywords:
high quantile estimation, negative dependence, the Pareto distribution, gamma distributionAbstract
We investigate the rate of convergence of the direct-simulation estimator ˆ 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.References
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