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 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.