INTERVAL ESTIMATION OF HIGHER ORDER QUANTILES. ANALYSIS OF ACCURACY OF SELECTED PROCEDURES
INTERVAL ESTIMATION OF HIGHER ORDER QUANTILES. ANALYSIS OF ACCURACY OF SELECTED
PROCEDURES
Author(s): Dorota PekasiewiczSubject(s): Economy, Business Economy / Management, Accounting - Business Administration
Published by: Główny Urząd Statystyczny
Keywords: accuracy of estimation; order statistic; percentile bootstrap method; quantile; semiparametric bootstrap method; Value at Risk;
Summary/Abstract: In the paper selected nonparametric and semiparametric estimation methods ofhigher orders quantiles are considered. The construction of nonparametric confidence intervals is based on order statistics of appropriate ranks from randomsamples or from generated bootstrap samples. Semiparametric bootstrap methodsare characterized by double bootstrap simulations. The values of bootstrap samplebelow the prearranged threshold are generated by the empirical distribution andthe values above this threshold are generated by the distribution based on theasymptotic properties of the tail of the random variable distribution. The resultsof the study allow one to draw conclusions about the effectiveness of theconsidered procedures and to compare these methods.
Journal: Statistics in Transition. New Series
- Issue Year: 17/2016
- Issue No: 4
- Page Range: 737-748
- Page Count: 12
- Language: English