Estimating extreme bivariate quantile regions

DOI10.1007/S10687-012-0156-ZMaRDI QIDQ2375848zbMATH OpenOpenAlexFDO

Authors John H. J. Einmahl, Andrea Krajina, Laurens De Haan

Publication date 25 June 2013

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10687-012-0156-z

zbMATH Keywords

density contoursextreme valueslevel setmultivariate quantilesrare eventssemiparametric estimationtail dependence

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• Estimating tails of probability distributions
• Estimation of extreme risk regions under multivariate regular variation
• Excess Mass Estimates and Tests for Multimodality
• Extreme value theory. An introduction.
• scientific article; zbMATH DE number 409721 (Why is no real title available?)
• Large quantile estimation in a multivariate setting
• Limit theory for multivariate sample extremes
• Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion
• Measuring mass concentrations and estimating density contour clusters -- An excess mass approach
• Nonparametric estimation of the spectral measure of an extreme value distribution.
• On nonparametric estimation of density level sets
• SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
• Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
• Thresholding Events of Extreme in Simultaneous Monitoring of Multiple Risks
• Understanding Relationships Using Copulas
• Using a bootstrap method to choose the sample fraction in tail index estimation

Cited in

(16)

• Environmental contours as Voronoi cells
• Robust quantile estimation under bivariate extreme value models
• Modeling multivariate extreme events using self-exciting point processes
• Testing extreme value copulas to estimate the quantile
• Prediction Regions for Bivariate Extreme Events
• Bayesian bivariate quantile regression
• On the estimation of extreme directional multivariate quantiles
• A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
• Estimation of extreme depth-based quantile regions
• On extreme quantile region estimation under heavy-tailed elliptical distributions
• Concentration bounds for the empirical angular measure with statistical learning applications
• Inference for new environmental contours using extreme value analysis
• Estimating the limiting shape of bivariate scaled sample clouds: with additional benefits of self-consistent inference for existing extremal dependence properties
• Estimation and uncertainty quantification for extreme quantile regions
• A VAE approach to sample multivariate extremes
• Extreme geometric quantiles in a multivariate regular variation framework

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