Estimation of extreme depth-based quantile regions

DOI10.1111/RSSB.12163MaRDI QIDQ5381086zbMATH OpenOpenAlexFDO

Authors Yi He, John H. J. Einmahl

Publication date 7 June 2019

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://research.tilburguniversity.edu/en/publications/d6529c8a-8865-4c03-a064-a63fd5097ffd

zbMATH Keywords

extreme value statisticshalf-space depthmultivariate quantileoutlier detectionrare eventtail dependence

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

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Cited in

(22)

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• scientific article; zbMATH DE number 7800975 (Why is no real title available?)
• On extreme quantile region estimation under heavy-tailed elliptical distributions
• Asymptotics for credit portfolio losses due to defaults in a multi-sector model
• Testing the Multivariate Regular Variation Model
• A Donsker and Glivenko-Cantelli theorem for random measures linked to extreme value theory
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• Testing the regular variation model for multivariate extremes with flexible circular and spherical distributions
• Portfolio default losses driven by idiosyncratic risks
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• On the asymptotic behavior of the maximum and record values of multivariate data using the \(\mathrm{R}\)-ordering principle
• ExceedGAN: simulation above extreme thresholds using generative adversarial networks
• Extremal dependence networks for mitigating systemic risk via maximum independent sets
• Estimation and uncertainty quantification for extreme quantile regions

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