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Communication Dans Un Congrès Année : 2022

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

Résumé

New parametrizations for neural networks are proposed in order to estimate extreme quantiles in both non-conditional and conditional heavy-tailed settings. All proposed neural network estimators feature a bias correction based on an extension of the usual second-order condition to an arbitrary order. The convergence rate of the uniform error between extreme log-quantiles and their neural network approximation is established. The finite sample performances of the non-conditional neural network estimator are compared to other bias-reduced extreme-value competitors on simulated data. It is shown that our method outperforms them in difficult heavy-tailed situations where other estimators almost all fail. The source code is available at github. Finally, conditional neural network estimators are implemented to investigate the behavior of extreme rainfalls as functions of their geographical location in the southern part of France.
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Dates et versions

hal-03910645 , version 1 (22-12-2022)

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  • HAL Id : hal-03910645 , version 1

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Michaël Allouche, Stéphane Girard, Emmanuel Gobet. Estimation of extreme quantiles from heavy-tailed distributions with neural networks. CMStatistics 2022 - 15th International Conference of the ERCIM WG on Computational and Methodological Statistics, Dec 2022, London, United Kingdom. ⟨hal-03910645⟩
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