Estimating Extreme Quantiles of Unknown Distributions Using the Peak over Thresholds Method

Abstract

The purpose of this paper is to present an analytically easy to use procedure for estimating of extreme quantiles of continuous random variables using the Peak Over Threshold approach, and a statistically sound approach to the problem of threshold selection that needs to be resolved in this context. A web link included in the text points to a ready-to-use implementation of the proposed method in the popular programming language Python.