Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Semi-parametric Bootstrap Confidence Intervals for High-Quantiles of Heavy-Tailed Distributions

꼬리가 두꺼운 분포의 고분위수에 대한 준모수적 붓스트랩 신뢰구간

  • Kim, Ji-Hyun (Department of Statistics and Actuarial Science, Soongsil University)
  • 김지현 (숭실대학교 정보통계보험수리학과)
  • Received : 20110800
  • Accepted : 20111000
  • Published : 2011.11.30
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Abstract

We consider bootstrap confidence intervals for high quantiles of heavy-tailed distribution. A semi-parametric method is compared with the non-parametric and the parametric method through simulation study.

꼬리가 두꺼운 분포의 고분위수에 대한 신뢰구간을 구할 때 적절한 붓스트랩 방법은 무엇인가에 대해 알아보았다. 비모수적 방법과 모수적 방법, 그리고 준모수적 방법의 성능을 모의실험을 통해 비교하였다.

Keywords

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