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Conference Papers Year : 2023

Estimation of extreme quantiles from heavy-tailed distributions with neural networks

Abstract

New parametrizations for neural networks are proposed in order to estimate extreme quantiles in both non-conditional and conditional heavy-tailed settings. All proposed neural network estimators feature a bias correction based on an extension of the usual second-order condition to an arbitrary order. The convergence rate of the uniform error between extreme log-quantiles and their neural network approximation is established. The finite sample performances of the non-conditional neural network estimator are compared to other bias-reduced extreme-value competitors on simulated data. It is shown that our method outperforms them in difficult heavy-tailed situations where other estimators almost all fail. The source code is available at github. Finally, conditional neural network estimators are implemented to investigate the behaviour of extreme rainfalls as functions of their geographical location in the southern part of France.
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hal-04170136 , version 1 (25-07-2023)

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  • HAL Id : hal-04170136 , version 1

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Michaël Allouche, Stéphane Girard, Emmanuel Gobet. Estimation of extreme quantiles from heavy-tailed distributions with neural networks. EVA 2023 - 13th International Conference on Extreme Value Analysis, Probabilistic and Statistical Models and their Applications, Jun 2023, Milan, Italy. ⟨hal-04170136⟩
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