A refined Weissman estimator for extreme quantiles
Abstract
Weissman extrapolation methodology for estimating extreme quantiles from heavy-tailed distributions 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. The asymptotic normality of the latter estimator is established and a data-driven method is introduced for the practical selection of the intermediate sequences. Our approach is compared to Weissman estimator and to six bias reduced estimators of extreme quantiles on a large scale simulation study. It appears that the refined Weissman estimator outperforms its competitors in a wide variety of situations, especially in the challenging high bias cases. Finally, an illustration on an actuarial real data set is provided.
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