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Estimation of Extreme Depth-Based Quantile Regions

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  • He, Y.

    (Tilburg University, Center For Economic Research)

  • Einmahl, J.H.J.

    (Tilburg University, Center For Economic Research)

Abstract

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  • He, Y. & Einmahl, J.H.J., 2014. "Estimation of Extreme Depth-Based Quantile Regions," Discussion Paper 2014-035, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:d6529c8a-8865-4c03-a064-a63fd5097ffd
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    References listed on IDEAS

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    1. Einmahl, J.H.J. & Li, Jun & Liu, Regina, 2015. "Bridging Centrality and Extremity : Refining Empirical Data Depth using Extreme Value Statistics," Discussion Paper 2015-020, Tilburg University, Center for Economic Research.
    2. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    3. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107630024, June.
    4. Einmahl, J.H.J. & de Haan, L.F.M. & Krajina, A., 2009. "Estimating Extreme Bivariate Quantile Regions," Discussion Paper 2009-29, Tilburg University, Center for Economic Research.
    5. Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, Tilburg University, School of Economics and Management.
    6. de Haan, L. & Resnick, S. I., 1979. "Derivatives of regularly varying functions in Rd and domains of attraction of stable distributions," Stochastic Processes and their Applications, Elsevier, vol. 8(3), pages 349-355, May.
    7. Robert Serfling, 2010. "Equivariance and invariance properties of multivariate quantile and related functions, and the role of standardisation," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 22(7), pages 915-936.
    8. Marc Hallin & Davy Paindaveine & Miroslav Siman, 2008. "Multivariate quantiles and multiple-output regression quantiles: from L1 optimization to halfspace depth," Working Papers ECARES 2008_042, ULB -- Universite Libre de Bruxelles.
    9. François Longin & Bruno Solnik, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, April.
    10. Struyf, Anja J. & Rousseeuw, Peter J., 1999. "Halfspace Depth and Regression Depth Characterize the Empirical Distribution," Journal of Multivariate Analysis, Elsevier, vol. 69(1), pages 135-153, April.
    11. Cai, J. & Einmahl, J.H.J. & de Haan, L.F.M., 2011. "Estimation of extreme risk regions under multivariate regular variation," Other publications TiSEM b7a72a8d-f9bc-4129-ae9b-a, Tilburg University, School of Economics and Management.
    12. de Haan, L. & Resnick, S., 1987. "On regular variation of probability densities," Stochastic Processes and their Applications, Elsevier, vol. 25, pages 83-93.
    13. McNeil, Alexander J. & Smith, Andrew D., 2012. "Multivariate stress scenarios and solvency," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 299-308.
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    Cited by:

    1. John H. J. Einmahl & Fan Yang & Chen Zhou, 2021. "Testing the Multivariate Regular Variation Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 907-919, October.
    2. Ebers Broughel, Anna & Hampl, Nina, 2018. "Community financing of renewable energy projects in Austria and Switzerland: Profiles of potential investors," Energy Policy, Elsevier, vol. 123(C), pages 722-736.
    3. Pere, Jaakko & Ilmonen, Pauliina & Viitasaari, Lauri, 2024. "On extreme quantile region estimation under heavy-tailed elliptical distributions," Journal of Multivariate Analysis, Elsevier, vol. 202(C).
    4. Chen, Shaoying & Tong, Zhiwei & Yang, Yang, 2025. "Portfolio default losses driven by idiosyncratic risks," European Journal of Operational Research, Elsevier, vol. 320(3), pages 765-776.
    5. Shaoying Chen & Yang Yang & Zhimin Zhang, 2024. "Asymptotics for credit portfolio losses due to defaults in a multi-sector model," Annals of Operations Research, Springer, vol. 337(1), pages 23-44, June.
    6. Chen, Simiao & Prettner, Klaus & Kuhn, Michael & Bloom, David E., 2021. "The economic burden of COVID-19 in the United States: Estimates and projections under an infection-based herd immunity approach," The Journal of the Economics of Ageing, Elsevier, vol. 20(C).
    7. Einmahl, John & Krajina, Andrea, 2023. "Empirical Likelihood Based Testing for Multivariate Regular Variation," Discussion Paper 2023-001, Tilburg University, Center for Economic Research.
    8. Singh, Ripudaman & Kemausuor, Francis & Wooldridge, Margaret, 2018. "Locational analysis of cellulosic ethanol production and distribution infrastructure for the transportation sector in Ghana," Renewable and Sustainable Energy Reviews, Elsevier, vol. 98(C), pages 393-406.
    9. Einmahl, John & Krajina, Andrea, 2023. "Empirical Likelihood Based Testing for Multivariate Regular Variation," Other publications TiSEM 261583f5-c571-48c6-8cea-9, Tilburg University, School of Economics and Management.
    10. Feng, Xiang-Nan & Wang, Yifan & Lu, Bin & Song, Xin-Yuan, 2017. "Bayesian regularized quantile structural equation models," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 234-248.
    11. Felten, Björn & Weber, Christoph, 2018. "The value(s) of flexible heat pumps – Assessment of technical and economic conditions," Applied Energy, Elsevier, vol. 228(C), pages 1292-1319.

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    More about this item

    Keywords

    Extreme value statistics; halfspace depth; multivariate quantile; outlier detection; rare event; tail dependence;
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