On the estimation of extreme tail probabilities

DOI10.1214/AOS/1069362750MaRDI QIDQ1364752zbMATH OpenOpenAlexFDO

Authors Ishay Weissman, Peter Hall

Publication date 6 October 1997

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1069362750

zbMATH Keywords

bootstrapextreme valuesHill's estimatororder statisticsPareto approximationregular variationsmoothing

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Nonparametric estimation (62G05) Nonparametric statistical resampling methods (62G09) Order statistics; empirical distribution functions (62G30)

Review text

Assume \(F\) is an unknown df and \(\overline F=1-F\) is approximated by an estimable quantity \(\overline F_\theta\). Choose \[ D_1(t;n,x)=E(\overline F_{\widehat\theta(t)}(x)-\overline F(x))^2 \] as a criterion for the approximation, where \(\widehat\theta(t)\) is an estimator of \(\theta\), depending on a tuning parameter \(t\). How to estimate in this case \(\overline F(x)\) at a point \(x\) well beyond the extent of the data \({\mathcal X}=\{X_1,\ldots,X_n\}\) is the main problem in the present paper. The authors suggest an approach founded on ``pulling back the problem to a location within the range of the data, by reducing the values of \(n\) and \(x\) to appropriate \(m\) and \(y\). Now one can approximate \(F\) by the empirical df and \(\overline F_{\widehat\theta}\) by its bootstrap version. The authors demonstrate this method in case when \(\overline F\) is regularly varying with remainder and \(\widehat\theta=\widehat\theta(k)\) depends on the \(k\) largest order statistics of the sample \({\mathcal X}\).

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Cited in

(23)

• Estimating tails of probability distributions
• Estimating extreme probabilities using tail simulated data
• On the impossibility of estimating densities in the extreme tail
• Optimal asymptotic estimation of small exceedance probabilities
• Parametric control charts
• On the estimation of the variability in the distribution tail
• Adjusted empirical likelihood method for the tail index of a heavy-tailed distribution
• On univariate extreme value statistics and the estimation of reinsurance premiums
• Approximation and estimation of very small probabilities of multivariate extreme events
• Heavy-traffic approximations for fractionally integrated random walks in the domain of attraction of a non-Gaussian stable distribution
• Robust test for detecting a signal in a high dimensional sparse normal vector
• Concomitant tail behaviour for extremes
• On optimising the estimation of high quantiles of a probability distribution
• Estimation of Tail Risk Based on Extreme Expectiles
• A general approach to generate random variates for multivariate copulae
• Estimation of Tails and Related Quantities Using the Number of Near-Extremes
• Understanding heavy tails in a bounded world or, is a truncated heavy tail heavy or not?
• Asymptotic expansions of convolutions of regularly varying distributions
• Comparative study on excess distribution estimation in iid settings
• Nonparametric estimation of splicing points in skewed cost distributions: a kernel-based approach
• Probability tails of Gaussian extrema
• Threshold selection in univariate extreme value analysis
• Tail index estimation, concentration and adaptivity

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