Naslov (eng)

THEORETICAL AND EMPIRICAL RESULTS ON THE COVERAGE PROBABILITY OF THE STANDARD QUANTILE ESTIMATOR FOR THE BURR DISTRIBUTION

Autor

Koprivica, Marija
Stanojević, Jelena

Publisher

Opis (eng)

Abstract: This In this paper, we determine the coverage probability of the standard quantile estimator for the Burr Type XII distribution. The analysis is conducted under the assumptions of negative dependence and independence and identical distribution (i.i.d.) between observations, and is based on large deviations theory. Numerical results are provided for various parameter settings and quantile levels, illustrating the estimator’s convergence properties as the sample size increases. Our findings improve the understanding of the estimator’s performance in the context of heavy-tailed distributions relevant to insurance and finance.

Jezik

engleski

Datum

2025

Licenca

Ovo delo je licencirano pod uslovima licence
Creative Commons CC BY-NC-ND 4.0 - Creative Commons Autorstvo - Nekomercijalno - Bez prerada 4.0 International License.

http://creativecommons.org/licenses/by-nc-nd/4.0/legalcode

Predmet

Keywords: Coverage probability, standard quantile estimator, Value-at-Risk

Deo kolekcije (1)

o:28218

Ekonomski fakultet