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Reports Year : 1998

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

Jean Diebolt
  • Function : Author

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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Other [cs.OH]
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Dates and versions

inria-00073300 , version 1 (24-05-2006)

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  • HAL Id : inria-00073300 , version 1

Cite

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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