Approximation of high quantiles from intermediate quantiles

DOI10.1007/S10687-016-0255-3MaRDI QIDQ347150zbMATH OpenOpenAlexWikidataFDO

Authors Cees de Valk

Publication date 30 November 2016

Published in Extremes (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1307.6501

zbMATH Keywords

extreme value theoryhigh quantilequantile estimationextended regular variationgeneralised Weibull tail limitlog-GW tail limitWeibull tail limit

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Rate of growth of functions, orders of infinity, slowly varying functions (26A12) Monotonic functions, generalizations (26A48)

Abstract: Motivated by applications requiring quantile estimates for very small probabilities of exceedance, this article addresses estimation of high quantiles for probabilities bounded by powers of sample size with exponents below -1. As regularity assumption, an alternative to the Generalised Pareto tail limit is explored for this purpose. Motivation for the alternative regularity assumption is provided, and it is shown to be equivalent to a limit relation for the logarithm of survival function, the log-GW tail limit, which generalises the GW (Generalised Weibull) tail limit, a generalisation of the Weibull tail limit. The domain of attraction is described, and convergence results are presented for quantile approximation and for a simple quantile estimator based on the log-GW tail. Simulations are presented, and advantages and limitations of log-GW-based estimation of high quantiles are indicated.

Recommendations

• High quantiles of heavy-tailed distributions: Their estimation
• On the relative approximation error of the generalized Pareto approximation for a high quantile
• On the estimation of high quantiles
• Scaling of high-quantile estimators
• Estimating Extreme Quantiles of Weibull Tail Distributions

Cites work

• scientific article; zbMATH DE number 3824949 (Why is no real title available?)
• scientific article; zbMATH DE number 1026035 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• A moment estimator for the index of an extreme-value distribution
• Bias correction in extreme value statistics with index around zero
• Bias reduction for high quantiles
• Bias-reduced estimators of the Weibull tail-coefficient
• Comparison of Weibull tail-coefficient estimators
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• Extreme quantile estimation for dependent data, with applications to finance
• Extreme value theory. An introduction.
• Fighting the arch–enemy with mathematics‘
• On the estimation of high quantiles
• On the estimation of the Weibull tail coefficient
• Slowly varying functions and asymptotic relations
• Statistical inference using extreme order statistics
• Strong limit theorems for weighted quantile processes
• Weibull tail-distributions revisited: A new look at some tail estimators

Cited in

(12)

• Q-convergence with interquartile ranges
• On dealing with the unknown population minimum in parametric inference
• On tests to distinguish distribution tails invariant with respect to the scale parameter
• Linking representations for multivariate extremes via a limit set
• Approximation and estimation of very small probabilities of multivariate extreme events
• Samples with a limit shape, multivariate extremes, and risk
• On the estimation of high quantiles
• Asymptotic behavior of the extrapolation error associated with the estimation of extreme quantiles
• Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors
• On the relative approximation error of the generalized Pareto approximation for a high quantile
• Robust estimation and regression with parametric quantile functions
• Parametric estimation of non-crossing quantile functions

This page was built for publication: Approximation of high quantiles from intermediate quantiles

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q347150)