Estimation of extreme quantiles from heavy-tailed distributions with neural networks

DOI10.1007/s11222-023-10331-2OpenAlexW4291992612MaRDI QIDQ6089222

Emmanuel Gobet, Michaël Allouche, Stéphane Girard

Publication date: 17 November 2023

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-023-10331-2

zbMATH Keywords

neural networksheavy-tailed distributionextreme-value theoryquantile estimationbias correctionconditional quantile estimation

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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