Large quantile estimation in a multivariate setting

DOI10.1006/JMVA.1995.1035MaRDI QIDQ1893362zbMATH OpenOpenAlexFDO

Authors Xin Huang, Laurens De Haan

Publication date 14 September 1995

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL http://repub.eur.nl/pub/58148

zbMATH Keywords

asymptotic normalitydomain of attractionestimated quantile curveestimation of extreme quantile curvesexceedance probabilityhigh tide water levelsorder statisticssea-diketwo-dimensional distributions

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Survival analysis and censored data (62N99) Applications of statistics (62P99)

Review text

The first author and \textit{H. Rootzén} [J. Stat. Plann. Inference 35, No. 1, 1-13 (1993; Zbl 0770.62026)]\ constructed confidence intervals for extreme quantiles, i.e., quantiles outside the scope of the sample under extreme-value conditions. Estimation of extreme quantiles is necessary, e.g., when determining the height of a projected sea-dike: on the basis of high tide water levels observed during 100 years one has to design the height of the dike in such a way that the return period of a flood is 10,000 years. In this paper we consider the multidimensional problem. The requirement is now, e.g., that the return period of a flood at either one of two places along the coast is 10,000 years. This leads to the problem of estimation of extreme quantile curves in two-dimensional distributions. We formulate the problem and its solution in two dimensions in order to keep the notation relatively simple. Generalization to higher dimensions is straightforward. Our aim is to estimate the curve of all values \((x(p)\), \(y(p))\) for which \(p = 1 - F(x(p)\), \(y(p))\), where \(F\) is some unknown distribution function from which a sample has been taken.

Recommendations

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Cited in

(12)

• It was 30 years ago today when Laurens de Haan went the multivariate way
• Estimating covariate functions associated to multivariate risks: a level set approach
• Estimating extreme bivariate quantile regions
• Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory
• Limit laws for multidimensional extremes
• Depth level set estimation and associated risk measures
• Estimating exceedance probabilities in higher-dimensional space
• On the estimation of extreme directional multivariate quantiles
• Estimation of multivariate conditional-tail-expectation using Kendall's process
• Estimation of multivariate tail quantities
• Estimation of extreme quantiles conditioning on multivariate critical layers
• Estimation of the multivariate conditional tail expectation for extreme risk levels: illustration on environmental data sets

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