Tail fitting, quantile interpolation [27]

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Bullet points include: In principle do not need to use normal distribution as the ‘expected’ distribution. C.f. definition of extreme event necessarily has in mind some prior view about what the distribution would be if it were not ‘fat-tailed’. In practice, normal distribution is the most common reference distribution. Need quite a few points to go ‘into the tail’

Bullet points include: In principle do not need to use normal distribution as the ‘expected’ distribution. C.f. definition of extreme event necessarily has in mind some prior view about what the distribution would be if it were not ‘fat-tailed’. In practice, normal distribution is the most common reference distribution. Need quite a few points to go ‘into the tail’

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