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Tail fitting, quantile interpolation [17]

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Bullet points include: Nice mathematical idea. Unfortunately, extrapolation is inherently problematic however sophisticated the mathematics we throw at the problem. Randomly simulate 100 such draws of 50 observations and re-estimate. Range of extrapolated answers is wide. Even for GPD, the distribution the observations are assumed to come from! Indeed, other distributions such as hyperbolic secant perhaps a better fit.

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