Title: Estimation and uncertainty quantification for extreme quantile regions
Authors: Boris Beranger - University of New South Wales (Australia) [presenting]
Simone Padoan - Bocconi University (Italy)
Scott Sisson - University of New South Wales (Austria)
Abstract: Estimation of extreme quantile regions, spaces in which future extreme events can occur with a given low probability, even beyond the range of the observed data, is an important task in the analysis of extremes. Existing methods to estimate such regions are available, but do not provide any measures of estimation uncertainty. We develop univariate and bivariate schemes for estimating extreme quantile regions under the Bayesian paradigm that outperforms existing approaches and provides natural measures of quantile region estimate uncertainty. We examine the method's performance in controlled simulation studies and then explore its application to the analysis of multiple extreme pollutant occurrences in Milan, Italy.