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There is now a CONTENT FREEZE for Mercury while we switch to a new platform. It began on Friday, March 10 at 6pm and will end on Wednesday, March 15 at noon. No new content can be created during this time, but all material in the system as of the beginning of the freeze will be migrated to the new platform, including users and groups. Functionally the new site is identical to the old one. webteam@gatech.edu
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Estimating high quantiles plays an important role in the context of
risk management. This involves extrapolation of an unknown distribution
function beyond observations. Under consideration is construsting
confidence intervals for high quantiles of a heavy tailed distribution.
In this talk we introduce three methods, including the normal approximation
method based on Hill's estimator, the likelihood ratio method and the
data tilting method. Our simulation study shows that the data tilting
method has a better performance in terms of the accuracy of coverage
probabilities.
