Large Quantile Estimation in a Multivariate Setting
AbstractAn asymptotic theory is developed for the estimation of high quantile curves, i.e., sets of points in higher dimensional space for which the exeedance probability is pn, with npn --> 0 (n --> [infinity]). Here n is the number of available observations. This is the situation of interest if one wants to protect against a calamity that has not yet occurred. Asymptotic normality of the estimated quantile curve is proved under appropriate conditions, including the domain of the attraction condition for multivariate extremes.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 53 (1995)
Issue (Month): 2 (May)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Elena Di Bernardino & Thomas Laloë & Véronique Maume-Deschamps & Clémentine Prieur, 2013. "Plug-in estimation of level sets in a non-compact setting with applications in multivariate risk theory," Post-Print hal-00580624, HAL.
- Elena Di Bernardino & Didier Rullière, 2012. "Distortions of multivariate risk measures: a level-sets based approach," Working Papers hal-00756387, HAL.
- Einmahl, J.H.J. & Haan, L.F.M. de & Krajina, A., 2009. "Estimating Extreme Bivariate Quantile Regions," Discussion Paper 2009-29, Tilburg University, Center for Economic Research.
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"Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory,"
- Di Bernardino, Elena & Rullière, Didier, 2013. "Distortions of multivariate distribution functions and associated level curves: Applications in multivariate risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 190-205.
- Einmahl, J.H.J. & Li, J. & Liu, R.Y., 2006. "Extreme Value Theory Approach to Simultaneous Monitoring and Thresholding of Multiple Risk Indicators," Discussion Paper 2006-104, Tilburg University, Center for Economic Research.
- repec:hal:wpaper:hal-00750873 is not listed on IDEAS
- Barme-Delcroix, Marie-Francoise & Gather, Ursula, 2007. "Limit laws for multidimensional extremes," Statistics & Probability Letters, Elsevier, vol. 77(18), pages 1750-1755, December.
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