Estimation of Extreme Quantiles for Functions of Dependent Random Variables

DOI10.1111/RSSB.12103MaRDI QIDQ5378145zbMATHOpenAlexFDO

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

Publication date 12 June 2019

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

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

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)

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.

Recommendations

• Estimation of extreme conditional quantiles
• Estimation for Extreme Conditional Quantiles of Functional Quantile Regression
• Functional nonparametric estimation of conditional extreme quantiles
• On the estimation of the quantile density function
• Weighted estimation of the dependence function for an extreme-value distribution
• Extreme quantile estimation for dependent data, with applications to finance
• Estimation of extreme quantiles from heavy and light tailed distributions
• Distribution and dependence-function estimation for bivariate extreme-value distributions.

Cited in

(16)

• Bounds for quantile-based risk measures of functions of dependent random variables
• Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
• Estimation of extreme depth-based quantile regions
• Stationary vine copula models for multivariate time series
• Can we weather proof our insurance?
• Extremal dependence measure for functional data
• Perturbed empirical distribution functions and quantiles under dependence
• Testing extreme value copulas to estimate the quantile
• Estimating high quantiles based on dependent circular data
• Extreme quantile regression for tail single-index varying-coefficient models
• Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors
• On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
• scientific article; zbMATH DE number 5733722 (Why is no real title available?)
• Inference of high quantiles of a heavy-tailed distribution from block data
• Robust quantile estimation under bivariate extreme value models
• Quantile predictions for elliptical random fields

This page was built for publication: Estimation of Extreme Quantiles for Functions of Dependent Random Variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5378145)