Improved inference on risk measures for univariate extremes

DOI10.1214/21-AOAS1555MaRDI QIDQ2170408zbMATH OpenOpenAlexFDO

Authors Léo R. Belzile, A. C. Davison

Publication date 5 September 2022

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

Full work available at URL https://arxiv.org/abs/2007.10780

zbMATH Keywords

profile likelihoodgeneralized Pareto distributionPoisson processextreme value distributiontangent exponential modelhigher-order asymptotic inference

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of statistics to environmental and related topics (62P12)

Abstract: We discuss the use of likelihood asymptotics for inference on risk measures in univariate extreme value problems, focusing on estimation of high quantiles and similar summaries of risk for uncertainty quantification. We study whether higher-order approximation based on the tangent exponential model can provide improved inferences, and conclude that inference based on maxima is generally robust to mild model misspecification and that profile likelihood-based confidence intervals will often be adequate, whereas inferences based on threshold exceedances can be badly biased but may be improved by higher-order methods, at least for moderate sample sizes. We use the methods to shed light on catastrophic rainfall in Venezuela, flooding in Venice, and the lifetimes of Italian semi-supercentenarians.

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Cited in

(2)

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• Distributionally robust inference for extreme value-at-risk

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