Estimation of extreme quantiles from heavy-tailed distributions with neural networks
Michaël Allouche, Stéphane Girard, Emmanuel Gobet
Topics & Concepts
QuantileEstimatorArtificial neural networkExtreme value theoryExtrapolationConditional probability distributionMathematicsOrder statisticComputer scienceStatisticsArtificial intelligenceHydrology and Drought AnalysisClimate variability and modelsFinancial Risk and Volatility Modeling