Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions

Yuri Goegebeur (1) , Armelle Guillou (2) , Andréhette Verster (3)

1 IMADA - Department of Mathematics and Computer Science [Odense]
2 IRMA - Institut de Recherche Mathématique Avancée
3 Department of Mathematical Statistics and Actuarial Science

A robust and asymptotically unbiased extreme quantile estimator is derived from a second order Pareto-type model and its asymptotic properties are studied under suitable regularity conditions. The finite sample properties of the proposed estimator are investigated with a small simulation experiment.

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Yuri Goegebeur, Armelle Guillou, Andréhette Verster. Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions. Statistics and Probability Letters, 2014, 87, pp.108-114. ⟨10.1016/j.spl.2014.01.010⟩. ⟨hal-00880530⟩