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On the Convergence of the ET Method for Extreme Upper Quantile Estimation

Stéphane Girard 1 Jean Diebolt
1 IS2 - Statistical Inference for Industry and Health
Inria Grenoble - Rhône-Alpes, LBBE - Laboratoire de Biométrie et Biologie Evolutive - UMR 5558
Abstract : We examine the consistency of the Exponential Tail (ET) nonparametric method forestimating extreme quantiles of an unknown distribution. We show that, in general, the consistency of ET imposes strong limitations on the rate of convergence to $0$ of the estimated quantile order.
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https://hal.inria.fr/inria-00073300
Contributor : Rapport de Recherche Inria <>
Submitted on : Wednesday, May 24, 2006 - 12:28:39 PM
Last modification on : Monday, February 10, 2020 - 4:36:45 PM
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  • HAL Id : inria-00073300, version 1

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Stéphane Girard, Jean Diebolt. On the Convergence of the ET Method for Extreme Upper Quantile Estimation. RR-3389, INRIA. 1998. ⟨inria-00073300⟩

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