Title: A refined Weissman estimator for extreme quantiles
Authors: Stephane Girard - Inria (France) [presenting]
Michael Allouche - Ecole Polytechnique (France)
Jonathan El Methni - Universite Paris Cite (France)
Abstract: Weissman's extrapolation methodology for estimating extreme quantiles from heavy-tailed distributions is based on two estimators: an order statistic to estimate an intermediate quantile and an estimator of the tail-index. The common practice is to select the same intermediate sequence for both estimators. We show how an adapted choice of two different intermediate sequences leads to a reduction of the asymptotic bias associated with the resulting refined Weissman estimator. The asymptotic normality of the latter estimator is established and a data-driven method is introduced for the practical selection of the intermediate sequences. Our approach is compared to Weissman estimator and to six bias-reduced estimators of extreme quantiles in a large-scale simulation study. It appears that the refined Weissman estimator outperforms its competitors in a wide variety of situations, especially in challenging high-bias cases. Finally, an illustration of an actuarial real data set is provided.