1923

Автор(ов): 

1

Параметры публикации
Тип публикации: 
Статья в журнале/сборнике
Название: 
High Quantile Estimation for Heavy-Tailed Distributions
Наименование источника: 
Performance evaluation
Обозначение и номер тома: 
62(1-4)
Город: 
Cannes
Издательство: 
INRIA
Год издания: 
2005
Страницы: 
178-192
Аннотация
Different estimators of high quantiles, such as $x_p^c$ proposedin \cite{MarkKrieg-2002}, Weissman's estimator $x_p^w$ and the POT-method are considered. Regarding the estimators $x_p^c$ and $x_p^w$ the asymptoticnormality of the logarithms of ratios of these estimators to thetrue value of the quantile is proved. These estimators areapplied to real data of Web sessions and pages. Furthermore,bootstrap confidence intervals of $x_p^c$ and $x_p^w$ areconstructed for modelled data of different heavy-taileddistributions as well as for Web-traffic data.
Библиографическая ссылка: 
Маркович Н.М. High Quantile Estimation for Heavy-Tailed Distributions // Performance evaluation. 2005. 62(1-4). С. 178-192.