Estimation and uncertainty quantification for extreme quantile regions
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Abstract: Estimation of extreme quantile regions, spaces in which future extreme events can occur with a given low probability, even beyond the range of the observed data, is an important task in the analysis of extremes. Existing methods to estimate such regions are available, but do not provide any measures of estimation uncertainty. We develop univariate and bivariate schemes for estimating extreme quantile regions under the Bayesian paradigm that outperforms existing approaches and provides natural measures of quantile region estimate uncertainty. We examine the method's performance in controlled simulation studies. We illustrate the applicability of the proposed method by analysing high bivariate quantiles for pairs of pollutants, conditionally on different temperature gradations, recorded in Milan, Italy.
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Cited in
(13)- Environmental contours as Voronoi cells
- Estimation of multivariate tail quantities
- On dealing with the unknown population minimum in parametric inference
- Estimating extreme bivariate quantile regions
- Reference Priors for the Generalized Extreme Value Distribution
- Estimation of extreme depth-based quantile regions
- A modeler's guide to extreme value software
- Confidence regions for high quantiles of a heavy tailed distribution
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- Estimation of extreme risk regions under multivariate regular variation
- A review of extreme value threshold estimation and uncertainty quantification
- Extreme quantiles estimation for actuarial applications
- Frontier estimation and extreme value theory
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