Estimation of Extreme Quantiles for Functions of Dependent Random Variables

DOI10.1111/RSSB.12103zbMATH Open1414.62160arXiv1311.5604OpenAlexW2015546842MaRDI QIDQ5378145FDOQ5378145

Jinguo Gong, Liang Peng, Qiwei Yao, Ya-Dong Li

Publication date: 12 June 2019

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

Abstract: We propose a new method for estimating the extreme quantiles for a function of several dependent random variables. In contrast to the conventional approach based on extreme value theory, we do not impose the condition that the tail of the underlying distribution admits an approximate parametric form, and, furthermore, our estimation makes use of the full observed data. The proposed method is semiparametric as no parametric forms are assumed on all the marginal distributions. But we select appropriate bivariate copulas to model the joint dependence structure by taking the advantage of the recent development in constructing large dimensional vine copulas. Consequently a sample quantile resulted from a large bootstrap sample drawn from the fitted joint distribution is taken as the estimator for the extreme quantile. This estimator is proved to be consistent. The reliable and robust performance of the proposed method is further illustrated by simulation.

Full work available at URL: https://arxiv.org/abs/1311.5604

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zbMATH Keywords

bootstraptime seriesempirical distribution functionextreme quantilesample quantilesdrawable vine copula

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30)

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