quantile

Playing with quantiles, part 2

March 8, 2011 | arthur charpentier

It is common to look at best time at the Marathon. Or perhaps the distribution of the top100, as done by John Myles White on his blog here (data can be found there), as the graph below, with the density of the time for the first 100 men (in blue) a...
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Playing with quantiles, part 1

March 8, 2011 | arthur charpentier

A standard idea in extreme value theory (see e.g. here, in French unfortunately) is that to estimate the 99.5% quantile (say), we just need to estimate a quantile of level 95% for observations exceeding the 90% quantile. In extreme value theory,...
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