Estimation of conditional laws given an extreme component

DOI10.1007/S10687-010-0122-6zbMATH Open1329.62164arXiv0806.2426OpenAlexW2081115776MaRDI QIDQ906629FDOQ906629

Anne-Laure Fougeres, Philippe Soulier

Publication date: 22 January 2016

Published in: Extremes (Search for Journal in Brave)

Abstract: Let $(X,Y)$ be a bivariate random vector. The estimation of a probability of the form $P(YleqymidX>t)$ is challenging when $t$ is large, and a fruitful approach consists in studying, if it exists, the limiting conditional distribution of the random vector $(X,Y)$, suitably normalized, given that $X$ is large. There already exists a wide literature on bivariate models for which this limiting distribution exists. In this paper, a statistical analysis of this problem is done. Estimators of the limiting distribution (which is assumed to exist) and the normalizing functions are provided, as well as an estimator of the conditional quantile function when the conditioning event is extreme. Consistency of the estimators is proved and a functional central limit theorem for the estimator of the limiting distribution is obtained. The small sample behavior of the estimator of the conditional quantile function is illustrated through simulations.

Full work available at URL: https://arxiv.org/abs/0806.2426

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zbMATH Keywords

nonparametric estimationsemiparametric estimationextreme value theoryconditional distributions

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Functional limit theorems; invariance principles (60F17)

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Cited In (11)

• Estimation of the conditional distribution of a multivariate variable given that one of its components is large: additional constraints for the Heffernan and Tawn model
• Estimating the probability of a rare event
• Hidden Regular Variation and Detection of Hidden Risks
• Geostatistics of dependent and asymptotically independent extremes
• Transition kernels and the conditional extreme value model
• Extremal characteristics of conditional models
• Conditioning on an extreme component: model consistency with regular variation on cones
• Limit Conditional Distributions for Bivariate Vectors with Polar Representation
• Detecting a conditional extreme value model
• On conditional extreme values of random vectors with polar representation
• Estimation and hypothesis testing for a nonnormal bivariate distribution with applications

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