Estimation of extreme quantiles from heavy-tailed distributions with neural networks

Abstract

We propose new parametrizations for neural networks in order to estimate extreme quantiles in both non-conditional and conditional heavy-tailed settings. All proposed neural network estimators feature a bias correction based on an extension of the usual second-order condition to an arbitrary order. The convergence rate of the uniform error between extreme log-quantiles and their neural network approximation is established. The finite sample performances of the non-conditional neural network estimator are compared to other bias-reduced extreme-value competitors on simulated data. It is shown that our method outperforms them in difficult heavy-tailed situations where other estimators almost all fail. The source code is available at https://github.com/michael-allouche/ nn-quantile-extrapolation.git. Finally, the conditional neural network estimators are implemented to investigate the behavior of extreme rainfalls as functions of their geographical location in the southern part of France.