A Modified Quantile Estimator Using Extreme-Value Theory with Applications
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M. B. Vermaat
Abstract
Reliable predictions by means of quantiles constitute one of the most important tasks not only in statistics but in entire science. Quantiles may be estimated by using Extreme- Value Theory (EVT). However, the properties of many estimators based on this theory depend heavily on the actual location. In this paper modified estimators for the quantiles are derived, the properties of which are less sensitive with respect to location. Moreover, these modified quantile estimators are also symmetric with regard to the mean for symmetric distributions, which is not the case for some of the estimators based on the EVT. The modified quantile estimators are a limiting result of an infinity shift of location of the estimators proposed by Dekkers et al. (The Annals of Statistics 17: 1833–1855, 1989). The results may be used in establishing control limits for Shewhart control charts.
© Heldermann Verlag
Artikel in diesem Heft
- Statistical Performance of Control Charts
- A Note on Optimum Chain Sampling (ChSP-1)
- A Modified Quantile Estimator Using Extreme-Value Theory with Applications
- Stochastics in the Manufacture and Operation of Fuel Assemblies for Nuclear Power Plants
- Improving the Maintenance System of Tippers A Case Study
- Two Examples of a Successful Multivariate Quantitative Analysis in Industry
- Robustness of Group Runs Control Chart to Non-normality
- Run and Frequency Quotas Under Markovian Fashion and their Application in Risk Analysis
- Reliability For A Bivariate Gamma Distribution
- Improving the Variability Function in Case of a Monotonic Probability Distribution
- A Bivariate Weibull Regression Model
Artikel in diesem Heft
- Statistical Performance of Control Charts
- A Note on Optimum Chain Sampling (ChSP-1)
- A Modified Quantile Estimator Using Extreme-Value Theory with Applications
- Stochastics in the Manufacture and Operation of Fuel Assemblies for Nuclear Power Plants
- Improving the Maintenance System of Tippers A Case Study
- Two Examples of a Successful Multivariate Quantitative Analysis in Industry
- Robustness of Group Runs Control Chart to Non-normality
- Run and Frequency Quotas Under Markovian Fashion and their Application in Risk Analysis
- Reliability For A Bivariate Gamma Distribution
- Improving the Variability Function in Case of a Monotonic Probability Distribution
- A Bivariate Weibull Regression Model
