Extreme expectile estimation for short-tailed data

10/05/2022
by   Abdelaati Daouia, et al.
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The use of expectiles in risk management contexts has recently gathered substantial momentum because of their excellent axiomatic and probabilistic properties. While expectile estimation at central levels already has a substantial history, expectile estimation at extreme levels has so far only been considered when the underlying distribution has a heavy right tail. This article focuses on the challenging short-tailed setting when the distribution of the variable of interest has a negative extreme value index and is bounded to the right. We derive an asymptotic expansion of extreme expectiles in this context under a general second-order extreme value condition. This asymptotic expansion makes it possible to study two semiparametric estimators of extreme expectiles, whose asymptotic properties we obtain in a general model of strictly stationary but weakly dependent observations. A simulation study and real data analysis illustrate the performance of the proposed statistical techniques.

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