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A high quantile estimator based on the log-generalized Weibull tail limit

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  • de Valk, Cees Fouad
  • Cai, Juan-Juan
Abstract
The estimation of high quantiles for very low probabilities of exceedance pn much smaller than 1/n (with n the sample size) remains a major challenge. For this purpose, the log-Generalized Weibull (log-GW) tail limit was recently proposed as regularity condition as an alternative to the Generalized Pareto (GP) tail limit, in order to avoid potentially severe bias in applications of the latter. Continuing in this direction, a new estimator for the log-GW tail index and a related quantile estimator are introduced. Both are constructed using the Hill estimator as building block. Sufficient conditions for asymptotic normality are established. These results, together with the results of simulations and an application, indicate that the new estimator fulfils the potential of the log-GW tail limit as a widely applicable model for high quantile estimation, showing a substantial reduction in bias as well as improved precision when compared to an estimator based on the GP tail limit.
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Suggested Citation

  • de Valk, Cees Fouad & Cai, Juan-Juan, 2018. "A high quantile estimator based on the log-generalized Weibull tail limit," LIDAM Reprints ISBA 2018030, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2018030
    Note: In : Econometrics and Statistics, vol. 6, p. 107-128 (2018)
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    1. Drees, Holger & Kaufmann, Edgar, 1998. "Selecting the optimal sample fraction in univariate extreme value estimation," Stochastic Processes and their Applications, Elsevier, vol. 75(2), pages 149-172, July.
    2. Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, Tilburg University, School of Economics and Management.
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    2. Albert, Clément & Dutfoy, Anne & Gardes, Laurent & Girard, Stéphane, 2020. "An extreme quantile estimator for the log-generalized Weibull-tail model," Econometrics and Statistics, Elsevier, vol. 13(C), pages 137-174.

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