On Estimation of High Quantiles for Certain Classes of Distributions
Jelena Stanojević
We investigate the rate of convergence of the direct-simulation estimator $\hat{x}$
of a large quantile $x_p$ of the Pareto and Gamma distributions. The upper bound of the
probability $P \{| \hat{x_p}(n) - x_p | \geq \epsilon \}$ is determined.