Revisiting Weissman estimator for extreme quantiles - Inria - Institut national de recherche en sciences et technologies du numérique
Pré-Publication, Document De Travail Année : 2021

Revisiting Weissman estimator for extreme quantiles

Résumé

Weissman extrapolation device for estimating extreme quantiles is based on two estimators: an order statistic to estimate an intermediate quantile and an estimator of the tail index. The common practice is to select the same intermediate sequence for both estimators. In this work, we show how an adaptated choice of two different intermediate sequences leads to a reduction of the asymptotic bias associated with the resulting Weissman estimator. Our approach is compared to other bias reduced estimators of extreme quantiles on simulated data.
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Dates et versions

hal-03266676 , version 1 (22-06-2021)
hal-03266676 , version 2 (08-09-2021)
hal-03266676 , version 3 (15-03-2022)

Identifiants

  • HAL Id : hal-03266676 , version 1

Citer

Jonathan El Methni, Stéphane Girard. Revisiting Weissman estimator for extreme quantiles. 2021. ⟨hal-03266676v1⟩
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