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Estimation of upper quantiles under model and parameter uncertainty

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  • Modarres, Reza
  • Nayak, Tapan K.
  • Gastwirth, Joseph L.

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  • Modarres, Reza & Nayak, Tapan K. & Gastwirth, Joseph L., 2002. "Estimation of upper quantiles under model and parameter uncertainty," Computational Statistics & Data Analysis, Elsevier, vol. 39(4), pages 529-554, June.
    • Handle: RePEc:eee:csdana:v:39:y:2002:i:4:p:529-554
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    References listed on IDEAS

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    1. Séménou, M., 1996. "Quantile estimation under possibly misspecified generalised linear model," Statistics & Probability Letters, Elsevier, vol. 27(4), pages 357-365, May.
    2. Charles N. Haas, 1997. "Importance of Distributional Form in Characterizing Inputs to Monte Carlo Risk Assessments," Risk Analysis, John Wiley & Sons, vol. 17(1), pages 107-113, February.
    3. H. Christopher Frey & David E. Burmaster, 1999. "Methods for Characterizing Variability and Uncertainty: Comparison of Bootstrap Simulation and Likelihood‐Based Approaches," Risk Analysis, John Wiley & Sons, vol. 19(1), pages 109-130, February.
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    Cited by:

    1. Vytaras Brazauskas & Sahadeb Upretee, 2019. "Model Efficiency and Uncertainty in Quantile Estimation of Loss Severity Distributions," Risks, MDPI, vol. 7(2), pages 1-16, May.
    2. Freeman, Jade & Modarres, Reza, 2006. "Inverse Box-Cox: The power-normal distribution," Statistics & Probability Letters, Elsevier, vol. 76(8), pages 764-772, April.
    3. Hadi Alizadeh Noughabi, 2015. "Empirical likelihood ratio-based goodness-of-fit test for the logistic distribution," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(9), pages 1973-1983, September.

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