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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
DOI: 10.2307/1390871
Stable URL: http://www.jstor.org/stable/1390871
Page Count: 17
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Identifying Tail Behavior by Means of Residual Quantile Functions
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Abstract

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.

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