On extreme quantile region estimation under heavy-tailed elliptical distributions

Cites work

A canonical definition of shape
A directional multivariate value at risk
A general class of multivariate skew-elliptical distributions
A moment estimator for the index of an extreme-value distribution
A note on second order conditions in extreme value theory: linking general and heavy tail conditions
A simple general approach to inference about the tail of a distribution
A statistic for testing the null hypothesis of elliptical symmetry
A test for elliptical symmetry
Asymptotic expansion of the minimum covariance determinant estimators
Asymptotics for the minimum covariance determinant estimator
Central limit theorem and influence function for the MCD estimators at general multivariate distributions
Comparison of tail index estimators
Conditional Heteroskedasticity in Asset Returns: A New Approach
Convergence of depth contours for multivariate datasets
Directional multivariate extremes in environmental phenomena
Estimating extreme bivariate quantile regions
Estimation of extreme depth-based quantile regions
Estimation of extreme risk regions under multivariate regular variation
Extreme geometric quantiles in a multivariate regular variation framework
Extreme value theory. An introduction.
Heavy-Tail Phenomena
scientific article; zbMATH DE number 3824949 (Why is no real title available?)
scientific article; zbMATH DE number 3986407 (Why is no real title available?)
scientific article; zbMATH DE number 1552506 (Why is no real title available?)
Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
Intriguing properties of extreme geometric quantiles
Laws of large numbers for sums of extreme values
Limiting forms of the frequency distribution of the largest or smallest member of a sample.
Minimum covariance determinant and extensions
Multivariate extremes, aggregation and dependence in elliptical distributions
Multivariate Hill Estimators
On a Geometric Notion of Quantiles for Multivariate Data
On asymptotic normality of Hill's estimator for the exponent of regular variation
On multivariate separating Hill estimator under estimated location and scatter
On nonparametric estimation of density level sets
On testing extreme value conditions
On the estimation of extreme directional multivariate quantiles
On the theory of elliptically contoured distributions
Optimal tests for elliptical symmetry: specified and unspecified location
Quantile functions for multivariate analysis: approaches and applications
Statistical inference using extreme order statistics
Sur la distribution limite du terme maximum d'une série aléatoire
Testing for elliptical symmetry in covariance matrix based analyses.
Testing the Multivariate Regular Variation Model
The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
Thresholding Events of Extreme in Simultaneous Monitoring of Multiple Risks
Using a bootstrap method to choose the sample fraction in tail index estimation

Cited in

(1)

Robust distances and multivariate outlier detection under heavy tails

This page was built for publication: On extreme quantile region estimation under heavy-tailed elliptical distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6536699)