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Effect of extrapolation on coverage accuracy of prediction intervals computed from Pareto-type data

Hall, Peter; Peng, Liang; Tajvidi, Nader

Description

A feature that distinguishes extreme-value contexts from more conventional statistical problems is that in the former we often wish to make predictions well beyond the range of the data. For example, one might have a 10-year sequence of observations of a phenomenon, and wish to make forecasts for the next 20 to 30 years. It is generally unclear how such long ranges of extrapolation affect prediction. In the present paper, and for extremes from a distribution with regularly varying tails at...[Show more]

CollectionsANU Research Publications
Date published: 2002
Type: Journal article
URI: http://hdl.handle.net/1885/733712378
Source: The Annals of Statistics
DOI: 10.1214/aos/1028674844

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