Confidence regions for high quantiles of a heavy tailed distribution
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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.
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Cites work
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- scientific article; zbMATH DE number 1026035 (Why is no real title available?)
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- A simple general approach to inference about the tail of a distribution
- Comparison of tail index estimators
- Data Tilting for Time Series
- Empirical likelihood
- Empirical likelihood is Bartlett-correctable
- Empirical likelihood ratio confidence intervals for a single functional
- Empirical likelihood ratio confidence regions
- Empirical-likelihood-based confidence interval for the mean with a heavy-tailed distribution.
- Estimating the First- and Second-Order Parameters of a Heavy-Tailed Distribution
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Estimation of quantiles of the maximum of N observations
- Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
- Likelihood based confidence intervals for the tail index
- Methodology and Algorithms of Empirical Likelihood
- On optimising the estimation of high quantiles of a probability distribution
Cited in
(19)- A least square method on confidence regions for high quantile of heavy tailed distributions
- Bayesian inference for extreme quantiles of heavy tailed distributions
- Nonparametric estimation of operational value-at-risk (OpVaR)
- Tilting methods for assessing the influence of components in a classifier
- Assessing the performance of confidence intervals for high quantiles of Burr XII and Inverse Burr mixtures
- Location invariant Weiss-Hill estimator
- Reduce computation in profile empirical likelihood method
- Simultaneous confidence bands for time-series prediction function
- Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
- Empirical likelihood based confidence regions for first order parameters of heavy-tailed distribu\-tions
- Statistical inference for conditional quantiles in nonlinear time series models
- Asymptotic normality of location invariant heavy tail index estimator
- Bootstrap and empirical likelihood methods in extremes
- Smoothed jackknife empirical likelihood method for tail copulas
- On the tail index of a heavy tailed distribution
- Inference of high quantiles of a heavy-tailed distribution from block data
- A class of unbiased location invariant Hill-type estimators for heavy tailed distributions
- Empirical likelihood inference for Haezendonck-Goovaerts risk measure
- Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
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