Estimating failure probabilities

DOI10.3150/13-BEJ594zbMATH Open1385.60054arXiv1107.0614OpenAlexW2028894071MaRDI QIDQ2348732FDOQ2348732

Authors: Holger Drees, Laurens De Haan 

Publication date: 15 June 2015

Published in: Bernoulli (Search for Journal in Brave)

Abstract: In risk management, often the probability must be estimated that a random vector falls into an extreme failure set. In the framework of bivariate extreme value theory, we construct an estimator for such failure probabilities and analyze its asymptotic properties under natural conditions. It turns out that the estimation error is mainly determined by the accuracy of the statistical analysis of the marginal distributions if the extreme value approximation to the dependence structure is at least as accurate as the generalized Pareto approximation to the marginal distributions. Moreover, we establish confidence intervals and briefly discuss generalizations to higher dimensions and issues arising in practical applications as well.

Full work available at URL: https://arxiv.org/abs/1107.0614

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zbMATH Keywords

confidence intervalsmarginal distributionsextreme failure setgeneralized Pareto approximation

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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Cited In (12)

• Estimating the probability of a rare event
• Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
• Robust and bias-corrected estimation of the probability of extreme failure sets
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• Environmental data: multivariate extreme value theory in practice
• Approximation and estimation of very small probabilities of multivariate extreme events
• Title not available (Why is that?)
• Estimating exceedance probabilities in higher-dimensional space
• A horse race between the block maxima method and the peak-over-threshold approach
• General Probability of System Failure
• Failure Probability Estimation of Long Pipeline

Uses Software

• ismev

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