Estimation of extreme risk regions under multivariate regular variation
From MaRDI portal
Abstract: When considering d possibly dependent random variables, one is often interested in extreme risk regions, with very small probability p. We consider risk regions of the form , where f is the joint density and a small number. Estimation of such an extreme risk region is difficult since it contains hardly any or no data. Using extreme value theory, we construct a natural estimator of an extreme risk region and prove a refined form of consistency, given a random sample of multivariate regularly varying random vectors. In a detailed simulation and comparison study, the good performance of the procedure is demonstrated. We also apply our estimator to financial data.
Recommendations
- Multivariate extremes, aggregation and risk estimation
- Conditional excess risk measures and multivariate regular variation
- Multivariate risks and depth-trimmed regions
- Regression-type analysis for multivariate extreme values
- Estimation of the tail exponent of multivariate regular variation
- Estimation and uncertainty quantification for extreme quantile regions
- Multivariate extreme value theory and its usefulness in understanding risk
- Kernel estimation of extreme regression risk measures
- Semi-parametric estimation of multivariate extreme expectiles
- Regional extreme value index estimation and a test of tail homogeneity
Cites work
- scientific article; zbMATH DE number 5604036 (Why is no real title available?)
- scientific article; zbMATH DE number 3332032 (Why is no real title available?)
- A moment estimator for the index of an extreme-value distribution
- A simple general approach to inference about the tail of a distribution
- Convergence rates in nonparametric estimation of level sets
- Estimating tails of probability distributions
- Excess Mass Estimates and Tests for Multimodality
- Extreme value theory. An introduction.
- Kernel density estimation with spherical data
- Kernel estimators of density function of directional data
- Measuring mass concentrations and estimating density contour clusters -- An excess mass approach
- On nonparametric estimation of density level sets
- On regular variation of probability densities
- On the regular variation of elliptical random vectors
- Optimal rates for plug-in estimators of density level sets
- Probability inequalities for empirical processes and a law of the iterated logarithm
- Regularly varying functions
- Thresholding Events of Extreme in Simultaneous Monitoring of Multiple Risks
- Using a bootstrap method to choose the sample fraction in tail index estimation
Cited in
(30)- Estimating asymptotic dependence functionals in multivariate regularly varying models
- A nonparametric method for producing isolines of bivariate exceedance probabilities
- Conditional Extremes in Asymmetric Financial Markets
- Testing the Multivariate Regular Variation Model
- Estimation of multivariate tail quantities
- Maximum likelihood estimation of elliptical tail
- Estimating extreme bivariate quantile regions
- Estimation of extreme depth-based quantile regions
- Algorithmic Learning Theory
- Asymptotic independence and support detection techniques for heavy-tailed multivariate data
- Extreme value theory for anomaly detection -- the GPD classifier
- Detecting influential data points for the Hill estimator in Pareto-type distributions
- Multivariate Hill Estimators
- Prediction Regions for Bivariate Extreme Events
- Asymptotics for credit portfolio losses due to defaults in a multi-sector model
- Estimating failure probabilities
- Estimation and uncertainty quantification for extreme quantile regions
- Multivariate risks and depth-trimmed regions
- Living on the multidimensional edge: Seeking hidden risks using regular variation
- Extreme geometric quantiles in a multivariate regular variation framework
- On extreme quantile region estimation under heavy-tailed elliptical distributions
- Sub-asymptotic motivation for new conditional multivariate extreme models
- Testing for central symmetry
- Estimation of the tail exponent of multivariate regular variation
- Cross-validation on extreme regions
- Sparse regular variation
- On the estimation of extreme directional multivariate quantiles
- Cube root weak convergence of empirical estimators of a density level set
- Statistical inference for max-stable processes by conditioning on extreme events
- Bridging centrality and extremity: refining empirical data depth using extreme value statistics
This page was built for publication: Estimation of extreme risk regions under multivariate regular variation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q638815)
