On the estimation of extreme directional multivariate quantiles

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dc.citation.journalTitleCOMMUNICATIONS IN STATISTICS-THEORY AND METHODSeng
dc.contributor.authorTorres R.
dc.contributor.authorDi Bernardino E.
dc.contributor.authorLaniado H.
dc.contributor.authorLillo R.E.
dc.contributor.departmentUniversidad EAFIT. Escuela de Cienciasspa
dc.contributor.researchgroupModelado Matemáticospa
dc.date.accessioned2021-04-12T14:07:16Z
dc.date.available2021-04-12T14:07:16Z
dc.date.issued2019-01-01
dc.description.abstractIn multivariate extreme value theory (MEVT), the focus is on analysis outside of the observable sampling zone, which implies that the region of interest is associated to high risk levels. This work provides tools to include directional notions into the MEVT, giving the opportunity to characterize the recently introduced directional multivariate quantiles (DMQ) at high levels. Then, an out-sample estimation method for these quantiles is given. A bootstrap procedure carries out the estimation of the tuning parameter in this multivariate framework and helps with the estimation of the DMQ. Asymptotic normality for the proposed estimator is provided and the methodology is illustrated with simulated data-sets. Finally, a real-life application to a financial case is also performed. © 2019, © 2019 Taylor & Francis Group, LLC.eng
dc.identifierhttps://eafit.fundanetsuite.com/Publicaciones/ProdCientif/PublicacionFrw.aspx?id=8783
dc.identifier.doi10.1080/03610926.2019.1619770
dc.identifier.issn03610926
dc.identifier.issn1532415X
dc.identifier.otherWOS;000471392300001
dc.identifier.otherSCOPUS;2-s2.0-85066618028
dc.identifier.urihttp://hdl.handle.net/10784/27806
dc.language.isoengeng
dc.publisherMarcel Dekker Inc.
dc.relation.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85066618028&doi=10.1080%2f03610926.2019.1619770&partnerID=40&md5=364734528937b9de906a541da7ec33cc
dc.rightshttps://v2.sherpa.ac.uk/id/publication/issn/0361-0926
dc.sourceCOMMUNICATIONS IN STATISTICS-THEORY AND METHODS
dc.subject.keywordImage segmentationeng
dc.subject.keywordBootstrap methodeng
dc.subject.keyworddirectional multivariate quantileseng
dc.subject.keywordHigh-level estimationeng
dc.subject.keywordMultivariate extremeseng
dc.subject.keywordRegular variationseng
dc.subject.keywordRisk assessmenteng
dc.titleOn the estimation of extreme directional multivariate quantileseng
dc.typearticleeng
dc.typeinfo:eu-repo/semantics/articleeng
dc.typeinfo:eu-repo/semantics/publishedVersioneng
dc.typepublishedVersioneng
dc.type.localArtículospa

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