Tail fitting, quantile interpolation [11]

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Bullet points include: EVT seems very helpful and seems to characterise limiting distributions very succinctly. But requires (arguably quite strong) regularity conditions that may not be satisfied. At issue is potential unreliability of extrapolation. E.g. Press et al. (2007)

Bullet points include: EVT seems very helpful and seems to characterise limiting distributions very succinctly. But requires (arguably quite strong) regularity conditions that may not be satisfied. At issue is potential unreliability of extrapolation. E.g. Press et al. (2007)

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