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Record W3120388739 · doi:10.3390/e23010070

A Method for Confidence Intervals of High Quantiles

2021· article· en· W3120388739 on OpenAlexafffund
Mei Ling Huang, Xiang Raney-Yan

Bibliographic record

VenueEntropy · 2021
Typearticle
Languageen
FieldEconomics, Econometrics and Finance
TopicFinancial Risk and Volatility Modeling
Canadian institutionsNiagara CollegeBrock University
FundersNatural Sciences and Engineering Research Council of CanadaCanadian Network for Research and Innovation in Machining Technology, Natural Sciences and Engineering Research Council of Canada
KeywordsQuantileEstimatorConfidence intervalMathematicsStatisticsMonte Carlo methodEconometricsApplied mathematicsComputer science

Abstract

fetched live from OpenAlex

The high quantile estimation of heavy tailed distributions has many important applications. There are theoretical difficulties in studying heavy tailed distributions since they often have infinite moments. There are also bias issues with the existing methods of confidence intervals (CIs) of high quantiles. This paper proposes a new estimator for high quantiles based on the geometric mean. The new estimator has good asymptotic properties as well as it provides a computational algorithm for estimating confidence intervals of high quantiles. The new estimator avoids difficulties, improves efficiency and reduces bias. Comparisons of efficiencies and biases of the new estimator relative to existing estimators are studied. The theoretical are confirmed through Monte Carlo simulations. Finally, the applications on two real-world examples are provided.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

How this classification was reachedexpand

Full frame machine prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.

metaresearch head score (Codex)0.015
metaresearch head score (Gemma)0.103
Version: metacan-v3-hybrid-931329e0061cValidation status: machine_predicted_unvalidated
Candidate categoriesnone
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Theoretical or conceptual · Consensus signal: Theoretical or conceptual
GenreCandidate signal: Methods · Consensus signal: Methods
Teacher disagreement score0.015
Threshold uncertainty score0.081

Distilled classifier scores by category (both heads)

CategoryCodexGemma
Metaresearch0.0150.103
Meta-epidemiology (narrow)0.0010.001
Meta-epidemiology (broad)0.0010.002
Bibliometrics0.0060.004
Science and technology studies0.0010.002
Scholarly communication0.0030.004
Open science0.0030.003
Research integrity0.0020.006
Insufficient payload (model declined to judge)0.0060.002

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.052
GPT teacher head0.293
Teacher spread0.240 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Classification

machine, unvalidated

Machine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.

The models applied no category: nothing in the taxonomy fit this work.
Study designTheoretical or conceptual
Domainnot available
GenreMethods

How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".

Quick stats

Citations1
Published2021
Admission routes2
Has abstractyes

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