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.
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Khatun et al. (2024) studied this question.
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