Small-sample estimators of the quantiles of the normal, log-normal and Pareto distributions

DOI10.1080/00949655.2011.582872zbMath1431.62082OpenAlexW2101539290MaRDI QIDQ5300823

Nicholas Tibor Longford

Publication date: 28 June 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2011.582872

zbMATH Keywords

efficiencyquantilesequity marketPareto distributionshrinkagelog-normal distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Exact distribution theory in statistics (62E15)

Related Items (1)

Efficient Estimation of the PDF and the CDF of the Exponentiated Gumbel Distribution

Uses Software

• R

Cites Work

• Unnamed Item
• Inference with the lognormal distribution
• A Modified Quantile Estimator Using Extreme-Value Theory with Applications
• Modelling of extremal events in insurance and finance
• Extreme Values in Finance, Telecommunications, and the Environment

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