Confidence intervals for high quantiles from heavy-tailed distributions. / Intervalos de confiança para altos quantis oriundos de distribuições de caudas pesadas

AUTOR(ES)

Michel Helcias Montoril

DATA DE PUBLICAÇÃO

2009

RESUMO

In this work, confidence intervals for high quantiles from heavy-tailed distributions were computed. More specifically, four methods, namely, normal approximation method, likelihood ratio method, data tilting method and generalised gamma method are used. A simulation study with data generated from Weibull distribution has shown that the generalised gamma method has better coverage probabilities with the smallest average length intervals. However, from data generated from Fréchet distribution, the likelihood ratio method gives the better intervals. Moreover, the methods used in this work are applied on a real data set from 1758 Brazilian fire claims

ASSUNTO(S)

confidence intervals. eventos extremos extremal events intervalos de confiança. altos quantis distribuições de caudas pesadas heavy-tailed distributions high quantiles

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