Robust bounds in multivariate extremes
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Abstract: Extreme value theory provides an asymptotically justified framework for estimation of exceedance probabilities in regions where few or no observations are available. For multivariate tail estimation, the strength of extremal dependence is crucial and it is typically modeled by a parametric family of spectral distributions. In this work we provide asymptotic bounds on exceedance probabilities that are robust against misspecification of the extremal dependence model. They arise from optimizing the statistic of interest over all dependence models within some neighborhood of the reference model. A certain relaxation of these bounds yields surprisingly simple and explicit expressions, which we propose to use in applications. We show the effectiveness of the robust approach compared to classical confidence bounds when the model is misspecified. The results are further applied to quantify the effect of model uncertainty on the Value-at-Risk of a financial portfolio.
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Cites work
- scientific article; zbMATH DE number 3820920 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 5242364 (Why is no real title available?)
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Cited in
(6)- Tail inverse regression: dimension reduction for prediction of extremes
- Robust quantile estimation under bivariate extreme value models
- Sparse regular variation
- Principal component analysis for multivariate extremes
- Concentration bounds for the empirical angular measure with statistical learning applications
- Distributionally robust inference for extreme value-at-risk
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