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
- scientific article; zbMATH DE number 3126936 (Why is no real title available?)
- scientific article; zbMATH DE number 3917511 (Why is no real title available?)
- scientific article; zbMATH DE number 1026035 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- 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)- Inference of high quantiles of a heavy-tailed distribution from block data
- 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
- On the tail index of a heavy tailed distribution
- Bayesian inference for extreme quantiles of heavy tailed distributions
- Assessing the performance of confidence intervals for high quantiles of Burr XII and Inverse Burr mixtures
- 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)
- Bootstrap and empirical likelihood methods in extremes
- A least square method on confidence regions for high quantile of heavy tailed distributions
- 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
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