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Identifying Tail Behavior by Means of Residual Quantile Functions
Francisco J. Diaz
Journal of Computational and Graphical Statistics
Vol. 8, No. 3 (Sep., 1999), pp. 493-509
Published by: Taylor & Francis, Ltd. on behalf of the American Statistical Association, Institute of Mathematical Statistics, and Interface Foundation of America
Stable URL: http://www.jstor.org/stable/1390871
Page Count: 17
You can always find the topics here!Topics: Dentistry, Statistics, Statistical estimation, Mathematical moments, Estimators, Simulations, Generating function, Insurance claims, Probabilities, Random variables
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Residual quantile functions characterize several important types of tail behavior. Graphical methods for identifying tail behavior starting from random samples are suggested. Graphics are used for exploring the existence of moments, the existence of the moment generating function, and regular and rapid variation tails. Simulations show the graphics perform well, even with relatively small samples. Our approach is illustrated with annual peak floods from a station in central Appalachia, and dentistry costs from a Colombian health service.
Journal of Computational and Graphical Statistics © 1999 American Statistical Association