EVENTS
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STATISTICS SEMINAR:: Confidence Intervals for High Quantiles of A Heavy Tailed Distribution
GUEST LECTURER
Dr. Yongcheng Qi
AFFILIATION
University of Minnesota Duluth
ABSTRACT
Estimating high quantiles plays an important role in the context of
risk management. This involves extrapolation of an unknown distribution
function beyond observations. Under consideration is construsting
confidence intervals for high quantiles of a heavy tailed distribution.
In this talk we introduce three methods, including the normal approximation
method based on Hill's estimator, the likelihood ratio method and the
data tilting method. Our simulation study shows that the data tilting
method has a better performance in terms of the accuracy of coverage
probabilities.
DATE & TIME
Thursday, August 26, 2004 -- 12:00 PM
DURATION
1.5 hours
LOCATION
228 ISyE main building
CONTACT PERSON
roshan@isye.gatech.edu
