A note on the asymptotic normality of the ET method for extreme quantile estimation

Jean Diebolt and Stéphane Girard

Statistics & Probability Letters, 2003, vol. 62, issue 4, 397-405

Abstract: In this note, we establish the asymptotic distribution of the exponential tail estimator of extreme quantiles. We give sufficient conditions for the asymptotic normality and provide some illustrating examples.

Keywords: Exponential; tail; Extreme; quantiles; Asymptotic; distribution; Second-order; conditions (search for similar items in EconPapers)
Date: 2003
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