Estimation of conditional laws given an extreme component

DOI10.1007/S10687-010-0122-6MaRDI QIDQ906629zbMATH OpenOpenAlexFDO

Authors Anne-Laure Fougeres, Philippe Soulier

Publication date 22 January 2016

Published in Extremes (Search for Journal in Brave)

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

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)

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.

Recommendations

• Limit conditional distributions for bivariate vectors with polar representation
• Estimation of bivariate excess probabilities for elliptical models
• Estimation of extreme conditional quantiles under a general tail-first-order condition
• Detecting a conditional extreme value model
• A conditional limit theorem for a bivariate representation of a univariate random variable and conditional extreme values

Cites work

• scientific article; zbMATH DE number 5190919 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 3716479 (Why is no real title available?)
• A test for elliptical symmetry
• Asymptotic properties of type I elliptical random vectors
• Comparison of Weibull tail-coefficient estimators
• Conditional limit results for type I polar distributions
• Conditional limiting distribution of beta-independent random vectors
• Conditional limits of \(W_{p}\) scale mixture distributions
• Conditioning on an extreme component: model consistency with regular variation on cones
• Detecting a conditional extreme value model
• Distribution of the maximum of concomitants of selected order statistics
• Diversification of aggregate dependent risks
• Estimating the limit distribution of multivariate extremes
• Estimation of bivariate excess probabilities for elliptical models
• Extreme behaviour for bivariate elliptical distributions
• Extreme value theory. An introduction.
• Functional limit theorems for induced order statistics
• Gaussian Approximation of Conditional Elliptical Random Vectors
• High risk scenarios and extremes. A geometric approach
• Limit conditional distributions for bivariate vectors with polar representation
• Limit laws for random vectors with an extreme component
• Pitfalls in using Weibull tailed distributions
• Point processes, regular variation and weak convergence
• Sojourns and extremes of stationary processes
• Statistics of Extremes
• The convex hull of a spherically symmetric sample
• Weak convergence and empirical processes. With applications to statistics

Cited in

(14)

• Limit conditional distributions for bivariate vectors with polar representation
• Estimating the probability of a rare event
• Estimation of bivariate excess probabilities for elliptical models
• Extremal characteristics of conditional models
• Detecting a conditional extreme value model
• Conditioning exceedances on covariate processes
• Geostatistics of dependent and asymptotically independent extremes
• Hidden regular variation and detection of hidden risks
• Transition kernels and the conditional extreme value model
• On conditional extreme values of random vectors with polar representation
• Conditioning on an extreme component: model consistency with regular variation on cones
• A conditional limit theorem for a bivariate representation of a univariate random variable and conditional extreme values
• Estimation and hypothesis testing for a nonnormal bivariate distribution with applications
• 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

This page was built for publication: Estimation of conditional laws given an extreme component

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q906629)