ScienceDirect® Home Skip Main Navigation Links
You have guest access to ScienceDirect. Find out more.
 
Home
Browse
My Settings
Alerts
Help
 Quick Search
 Search tips (Opens new window)
    Clear all fields    
Performance Evaluation
Volume 62, Issues 1-4, October 2005, Pages 178-192
Performance 2005
 
Font Size: Decrease Font Size  Increase Font Size
 Abstract - selected
Article
Purchase PDF (245 K)

Article Toolbox
 
 
 
Related Articles in ScienceDirect
View More Related Articles
 
View Record in Scopus
 
doi:10.1016/j.peva.2005.07.014    
How to Cite or Link Using DOI (Opens New Window)

Copyright © 2005 Elsevier B.V. All rights reserved.

High quantile estimation for heavy-tailed distributions

Purchase the full-text article



References and further reading may be available for this article. To view references and further reading you must purchase this article.

N.M. MarkovichE-mail The Corresponding Author

Institute of Control Sciences Russian Academy of Sciences, Profsoyuznaya Str. 65, 117997 Moscow, Russian Federation


Available online 8 August 2005.

Abstract

Different estimators of high quantiles, such as View the MathML source proposed in [N.M. Markovitch, U.R. Krieger, The estimation of heavy-tailed probability density functions, their mixtures and quantiles. Computer Networks 40 (3) (2002) 459–474], Weissman’s estimator View the MathML source and the POT-method are considered. Regarding the estimators View the MathML sourceand View the MathML source the asymptotic normality of the logarithms of ratios of these estimators to the true value of the quantile is proved. These estimators are applied to real data of Web sessions and pages. Furthermore, bootstrap confidence intervals of View the MathML source and View the MathML source are constructed for modelled data of different heavy-tailed distributions as well as for Web-traffic data.

Keywords: Heavy-tailed distribution; High quantile; Extreme value index; Bootstrap; Web-traffic data

Article Outline

1. Introduction
2. Estimators of high quantiles
3. Distribution of high quantile estimators
4. Simulation study
5. Application to WWW-session data
Acknowledgements
References
Vitae

Performance Evaluation
Volume 62, Issues 1-4, October 2005, Pages 178-192
Performance 2005
 
Home
Browse
My Settings
Alerts
Help
Elsevier.com (Opens new window)
About ScienceDirect  |  Contact Us  |  Information for Advertisers  |  Terms & Conditions  |  Privacy Policy
Copyright © 2008 Elsevier B.V. All rights reserved. ScienceDirect® is a registered trademark of Elsevier B.V.