Jackknife method for intermediate quantiles

Journal of Statistical Planning and Inference

Volumn 139, Issue 7, 2009, Pages 2373-2381

  Peng, Liang ^a   Yang, Jingping ^b  

^a GEORGIA INSTITUTE OF TECHNOLOGY   (United States)

^b PEKING UNIVERSITY   (China)

Author keywords

Coverage probability; Extreme value index; Intermediate quantile; Jackknife

Indexed keywords

EID: 62049085940     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jspi.2008.10.022     Document Type: Article

References (20)

1. Balkema A.A., and de Haan L. Limit distributions for order statistics. I. Theory Probab. Appl. 23 (1978) 77-92
2. Balkema A.A., and de Haan L. Limit distributions for order statistics. II. Theory Probab. Appl. 23 (1978) 341-358
3. Cheng S., de Haan L., and Huang X. Rate of convergence of intermediate order statistics. J. Theoret. Probab. 10 (1997) 1-23
4. Chibisov D.M. On limit distributions for order statistics. Theory Probab. Appl. 9 (1964) 142-148
5. Csörgo{combining double acute accent} M., and Horváth L. Weighted Approximations in Probability and Statistics (1993), Wiley, New York
6. Csörgo{combining double acute accent} M., and Steinebach J. On the estimation of the adjustment coefficient in risk theory via intermediate order statistics. Insurance Math. Econom. 10 (1991) 37-50
7. David H.A. Order Statistics (1981), Wiley, New York
8. Dekkers A.L.M., and de Haan L. On the estimation of the extreme-value index and large quantile estimation. Ann. Statist. 17 (1989) 1795-1832
9. Dekkers A.L.M., Einmahl J.H.J., and de Haan L. A moment estimator for the index of an extreme value distribution. Ann. Statist. 17 (1989) 1833-1855
10. Drees H. On smooth statistical tail functionals. Scand. J. Statist. 25 (1998) 187-210
11. Einmahl J.H.J. Limit theorems for tail processes with application to intermediate quantile estimation. J. Statist. Plann. Inference 32 (1992) 137-145
12. Gather U., and Tomkins J. On stability of intermediate order statistics. J. Statist. Plann. Inference 45 (1995) 175-183
13. de Haan L., and Ferreira A. Extreme Value Theory, an Introduction (2006), Springer, Berlin
14. Hall P., and Wang Q. Exact convergence rate and leading term in central limit theorem for student's t statistic. Ann. Probab. 32 2 (2004) 1419-1437
15. Martin M.A. On using the Jackknife to estimate quantile variance. Canad. J. Statist. 18 2 (1990) 149-153
16. Pickands III J. Statistical inference using extreme order statistics. Ann. Statist. 15 (1975) 1174-1207
17. Shao J., and Tu D. The Jackknife and Bootstrap (1996), Springer, Berlin
18. Viharos L. Tail index estimation based on linear combinations of intermediate order statistics. Statist. Neerlandica 51 (1997) 164-177
19. Watts V., Rootzén H., and Leadbetter M.R. On limiting distributions of intermediate order statistics from stationary sequences. Ann. Probab. 10 (1982) 653-662
20. Wu C.Y. The types of limit distributions for some terms of variational series. Sci. Sinica 15 (1966) 749-762