Related papers: Divergence based Robust Estimation of the Tail Ind…
Modelling non-homogeneous and multi-component data is a problem that challenges scientific researchers in several fields. In general, it is not possible to find a simple and closed form probabilistic model to describe such data. That is why…
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…
Diversity schemes play a vital role in improving the performance of ultra-reliable communication systems by transmitting over two or more communication channels to combat fading and co-channel interference. Determining an appropriate…
Expectiles define the only law-invariant, coherent and elicitable risk measure apart from the expectation. The popularity of expectile-based risk measures is steadily growing and their properties have been studied for independent data, but…
We use the so-called t-Hill tail index estimator proposed by Fabi\'an(2001), rather than Hill's one, to derive a robust estimator for the distortion risk premium of loss. Under the second-order condition of regular variation, we establish…
Numerous robust estimators exist as alternatives to the maximum likelihood estimator (MLE) when a completely observed ground-up loss severity sample dataset is available. However, the options for robust alternatives to MLE become…
This article introduces a non-parametric information-theoretic approach to inference about the tail of a continuous or a discrete distribution. Leveraging a new concept named tail profile -- a set of information-theoretic quantities…
Extreme U-statistics arise when the kernel of a U-statistic has a high degree but depends only on its arguments through a small number of top order statistics. As the kernel degree of the U-statistic grows to infinity with the sample size,…
We study the consistency and weak convergence of the conditional tail function and conditional Hill estimators under broad dependence assumptions for a heavy-tailed response sequence and a covariate sequence. Consistency is established…
High-dimensional covariance estimation is notoriously sensitive to outliers. While statistically optimal estimators exist for general heavy-tailed distributions, they often rely on computationally expensive techniques like semidefinite…
We study tail estimation in Pareto-like settings for datasets with a high percentage of randomly right-censored data, and where some expert information on the tail index is available for the censored observations. This setting arises for…
Natural data are often long-tail distributed over semantic classes. Existing recognition methods tackle this imbalanced classification by placing more emphasis on the tail data, through class re-balancing/re-weighting or ensembling over…
We propose a semiparametric method for fitting the tail of a heavy-tailed population given a relatively small sample from that population and a larger sample from a related background population. We model the tail of the small sample as an…
Causal inference for extreme events has many potential applications in fields such as climate science, medicine and economics. We study the extremal quantile treatment effect of a binary treatment on a continuous, heavy-tailed outcome.…
We study distributional robustness in the context of Extreme Value Theory (EVT). We provide a data-driven method for estimating extreme quantiles in a manner that is robust against incorrect model assumptions underlying the application of…
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 task of estimation of the tails of probability distributions having small samples seems to be still opened and almost unsolvable. The paper tries to make a step in filling this gap. In 2017 Jordanova et al. introduce six new…
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…
For extreme value estimation we propose to use a model with a Dirichlet process mixture of gamma densities in the center and generalized Pareto densities for the tails. Due to the randomness in the center and a heavy tailed density in the…
Modelling excesses over a high threshold using the Pareto or generalized Pareto distribution (PD/GPD) is the most popular approach in extreme value statistics. This method typically requires high thresholds in order for the (G)PD to fit…