Nonparametric asymptotic confidence intervals for extreme quantiles

In this paper, we propose new asymptotic confidence intervals for extreme quantiles, that is, quantiles located outside the range of available data. We restrict ourselves to situation where underlying distribution is heavy-tailed. While are mostly constructed around a pivotal quantity, consider here an alternative approach based on order statistics sampled from uniform distribution. The convergence coverage probability nominal one established under classical second-order condition. finite sample behavior also examined and our methodology applied real dataset.