Skip to Main content Skip to Navigation
Reports

Asymptotic normality of the ET method for extreme quantile estimation. Application to the ET test

Jean Diebolt 1 Myriam Garrido 1 Stéphane Girard 1
1 IS2 - Statistical Inference for Industry and Health
Inria Grenoble - Rhône-Alpes, LBBE - Laboratoire de Biométrie et Biologie Evolutive - UMR 5558
Abstract : We investigate the asymptotic distribution of the Exponential Tail (ET) estimator of extreme quantiles. We give sufficient conditions for the asymptotic normality and provide some illustrating examples. Then, on the basis of this result, we propose a goodness-of-fit test for the tail of a usual distribution. The asymptotic power and level of the test are established.
Document type :
Reports
Complete list of metadata

https://hal.inria.fr/inria-00072037
Contributor : Rapport de Recherche Inria <>
Submitted on : Tuesday, May 23, 2006 - 7:36:54 PM
Last modification on : Thursday, March 4, 2021 - 9:42:02 AM
Long-term archiving on: : Sunday, April 4, 2010 - 10:50:08 PM

Identifiers

  • HAL Id : inria-00072037, version 1

Collections

Citation

Jean Diebolt, Myriam Garrido, Stéphane Girard. Asymptotic normality of the ET method for extreme quantile estimation. Application to the ET test. [Research Report] RR-4551, INRIA. 2002. ⟨inria-00072037⟩

Share

Metrics

Record views

4202

Files downloads

229