Empirical likelihood method for intermediate quantiles
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.
Year of publication: |
2010
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Authors: | Li, Zhouping ; Gong, Yun ; Peng, Liang |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 11-12, p. 1022-1029
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Publisher: |
Elsevier |
Keywords: | Confidence interval Empirical likelihood Intermediate quantile |
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