Large Quantile Estimation under Extreme-Value Conditions

摘要

Flood prediction is considered. The safety standard for dike construction states that the probability that at any time in a given year the sea-level exceeds the level of the dikes is 1:10,000. The question of how to give an estimate for such a level from past observations involves estimation of large quantiles of an unknown distribution function. A large quantile is estimated by a combination of extreme or intermediate order statistics. This leads to an asymptotic confidence interval.