Effect of extrapolation on coverage accuracy of prediction intervals computed from Pareto-type data
A feature that distinguishes extreme-value contexts from more conventional statistical problems is that in the former we often wish to make predictions well beyond the range of the data. For example, one might have a 10-year sequence of observations of a phenomenon, and wish to make forecasts for the next 20 to 30 years. It is generally unclear how such long ranges of extrapolation affect predicti