Mathematics and Statistics Vol. 7(5), pp. 172 - 181
DOI: 10.13189/ms.2019.070503
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Estimation of Small Tail Probabilities by Repeated Fusion

Benjamin Kedem ^*, Lemeng Pan , Paul J. Smith Chen Wang
Department of Mathematics, University of Maryland, College Park, 20742, Maryland, United States

ABSTRACT

It is shown how to estimate any threshold probability from data below or even far below the threshold through repeated fusion of the data with externally generated random samples. This is referred to as repeated out of sample fusion (ROSF). A comparison of the approach with peaks-over-threshold (POT) across different tail types shows that ROSF provides more precise point and interval estimates based on moderately large samples.

KEYWORDS
Density Ratio Model, Semiparametric, Optimization, Iterative, Order Statistics

Cite This Paper in IEEE or APA Citation Styles
(a). IEEE Format:
[1] Benjamin Kedem , Lemeng Pan , Paul J. Smith Chen Wang , "Estimation of Small Tail Probabilities by Repeated Fusion," Mathematics and Statistics, Vol. 7, No. 5, pp. 172 - 181, 2019. DOI: 10.13189/ms.2019.070503.

(b). APA Format:
Benjamin Kedem , Lemeng Pan , Paul J. Smith Chen Wang (2019). Estimation of Small Tail Probabilities by Repeated Fusion. Mathematics and Statistics, 7(5), 172 - 181. DOI: 10.13189/ms.2019.070503.