Confidence regions for high quantiles of a heavy tailed distribution

DOI10.1214/009053606000000416zbMATH Open1246.62125arXivmath/0611278OpenAlexW3099948353MaRDI QIDQ449958FDOQ449958

Authors: Liang Peng, Yongcheng Qi 

Publication date: 3 September 2012

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

Abstract: Estimating high quantiles plays an important role in the context of risk management. This involves extrapolation of an unknown distribution function. In this paper we propose three methods, namely, the normal approximation method, the likelihood ratio method and the data tilting method, to construct confidence regions for high quantiles of a heavy tailed distribution. A simulation study prefers the data tilting method.

Full work available at URL: https://arxiv.org/abs/math/0611278

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zbMATH Keywords

data tiltingempirical likelihood method

Mathematics Subject Classification ID

Nonparametric tolerance and confidence regions (62G15) Statistics of extreme values; tail inference (62G32)

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Cited In (19)

• Simultaneous confidence bands for time-series prediction function
• Smoothed jackknife empirical likelihood method for tail copulas
• Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
• Assessing the performance of confidence intervals for high quantiles of Burr XII and Inverse Burr mixtures
• On the tail index of a heavy tailed distribution
• Bayesian inference for extreme quantiles of heavy tailed distributions
• A class of unbiased location invariant Hill-type estimators for heavy tailed distributions
• Empirical likelihood based confidence regions for first order parameters of heavy-tailed distribu\-tions
• Tilting methods for assessing the influence of components in a classifier
• Location invariant Weiss-Hill estimator
• Empirical likelihood inference for Haezendonck-Goovaerts risk measure
• Nonparametric estimation of operational value-at-risk (OpVaR)
• A least square method on confidence regions for high quantile of heavy tailed distributions
• Bootstrap and empirical likelihood methods in extremes
• Asymptotic normality of location invariant heavy tail index estimator
• Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
• Reduce computation in profile empirical likelihood method
• Statistical inference for conditional quantiles in nonlinear time series models
• Inference of high quantiles of a heavy-tailed distribution from block data

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