Estimation and uncertainty quantification for extreme quantile regions

  title={Estimation and uncertainty quantification for extreme quantile regions},
  author={B. B{\'e}ranger and Simone A. Padoan and Scott Anthony Sisson},
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… 
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