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

A refined Weissman estimator for extreme quantiles

Résumé

Weissman extrapolation device for estimating extreme quantiles from heavy-tailed distribution 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 adapted choice of two different intermediate sequences leads to a reduction of the asymptotic bias associated with the resulting refined Weissman estimator. This new bias reduction method is fully automatic and does not involve the selection of extra parameters. Our approach is compared to other bias reduced estimators of extreme quantiles both on simulated and real 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 2

Citer

Jonathan El Methni, Stéphane Girard. A refined Weissman estimator for extreme quantiles. 2021. ⟨hal-03266676v2⟩
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