Empirical likelihood method for intermediate quantiles

Zhouping Li, Yun Gong and Liang Peng

Statistics & Probability Letters, 2010, vol. 80, issue 11-12, 1022-1029

Abstract: Intermediate quantiles play an important role in the statistics of extremes with particular applications in risk management. For interval estimation of quantiles, Chen and Hall (1993) proposed the so-called smoothed empirical likelihood method. In this paper, we apply the method in Chen and Hall (1993) to construct confidence intervals for an intermediate quantile by deriving the corresponding Wilks Theorem.

Keywords: Confidence; interval; Empirical; likelihood; Intermediate; quantile (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (1)

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