Related papers: Bias-reduced extreme quantiles estimators of Weibu…
In this paper, we consider the problem of the estimation of a Weibull tail-coefficient. In particular, we propose a regression model, from which we derive a bias-reduced estimator. This estimator is based on a least-squares approach. The…
We address the problem of estimating the Weibull tail-coefficient which is the regular variation exponent of the inverse failure rate function. We propose a family of estimators of this coefficient and an associate extreme quantile…
The use of expectiles in risk management has recently gathered remarkable momentum due to their excellent axiomatic and probabilistic properties. In particular, the class of elicitable law-invariant coherent risk measures only consists of…
In extreme value inference it is a fundamental problem how the target value is required to be extreme by the extreme value theory. In iid settings this study both theoretically and numerically compares tail estimators, which are based on…
One of the main goal of extreme value analysis is to estimate the probability of rare events given a sample from an unknown distribution. The upper tail behavior of this distribution is described by the extreme value index. We present a new…
In several different fields, there is interest in analyzing the upper or lower tail quantile of the underlying distribution rather than mean or center quantile. However, the investigation of the tail quantile is difficult because of data…
The extreme value theory is very popular in applied sciences including Finance, economics, hydrology and many other disciplines. In univariate extreme value theory, we model the data by a suitable distribution from the general max-domain of…
Quantile regression is an important tool for estimation of conditional quantiles of a response Y given a vector of covariates X. It can be used to measure the effect of covariates not only in the center of a distribution, but also in the…
We present a new family of estimators of the Weibull tail-coefficient. The Weibull tail-coefficient is defined as the regular variation coefficient of the inverse failure rate function. Our estimators are based on a linear combination of…
In this paper, we investigate the extreme-value methodology, to propose an improved estimator of the conditional tail expectation ($CTE$) for a loss distribution with a finite mean but infinite variance. The present work introduces a new…
In this paper we consider the semi-parametric estimation of extreme quantiles of a right heavy-tail model. We propose a new Log Probability Weighted Moment estimator for extreme quantiles, which is obtained from the estimators of the shape…
Extremal quantile regression, i.e. quantile regression applied to the tails of the conditional distribution, counts with an increasing number of economic and financial applications such as value-at-risk, production frontiers, determinants…
Based on suitable left-truncated or censored data, two flexible classes of $M$-estimations of Weibull tail coefficient are proposed with two additional parameters bounding the impact of extreme contamination. Asymptotic normality with…
Quantile regression is an increasingly important empirical tool in economics and other sciences for analyzing the impact of a set of regressors on the conditional distribution of an outcome. Extremal quantile regression, or quantile…
Models for extreme values are generally derived from limit results, which are meant to be good enough approximations when applied to finite samples. Depending on the speed of convergence of the process underlying the data, these…
A new estimator is proposed for estimating the tail exponent of a heavy-tailed distribution. This estimator, referred to as the layered Hill estimator, is a generalization of the traditional Hill estimator, building upon a layered structure…
We revisit the model of heteroscedastic extremes initially introduced by Einmahl et al. (JRSSB, 2016) to describe the evolution of a non stationary sequence whose extremes evolve over time and adapt it into a general extreme quantile…
The estimation of conditional quantiles at extreme tails is of great interest in numerous applications. Various methods that integrate regression analysis with an extrapolation strategy derived from extreme value theory have been proposed…
Weibull distribution is widely used in modelling health data. However, its lack of sufficient tail flexibility often results in poor fit in extreme events. We proposed another three-parameter extension of the Weibull distribution with…
Constant-specified and exponential concentration inequalities play an essential role in the finite-sample theory of machine learning and high-dimensional statistics area. We obtain sharper and constants-specified concentration inequalities…