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Keywords: Quantile estimation
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2020) 21 (3): 201–216.
Published: 02 July 2020
...Ingo Hoffmann; Christoph J. Börner Purpose This paper aims to evaluate the accuracy of a quantile estimate. Especially when estimating high quantiles from a few data, the quantile estimator itself is a random number with its own distribution. This distribution is first determined...
