Sample quantiles of heavy tailed stochastic processes
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For a stochastic process \(Y = (Y_t)_{t \in T}\) let the random variable \(Q_\rho (Y)\) denote the sample \(\rho\)-quantile of \(Y\) \((0 \leq \rho < 1)\); i.e. \(Y\) spends at least \(100 \rho\) \% of its ``time at or below \(Q_\rho (Y)\) and at least \(100 (1 - \rho)\) \% of its ``time at or above \(Q_\rho (Y)\). The authors derive asymptotics for the tail of the sample quantile distribution for the class of infinitely divisible stochastic processes whose Lévy-measures have regularly varying tail.
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Cites work
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- Delay in claim settlement and ruin probability approximations
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- Exponential moments of vector valued random series and triangular arrays
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- scientific article; zbMATH DE number 4088592 (Why is no real title available?)
- scientific article; zbMATH DE number 3716479 (Why is no real title available?)
- scientific article; zbMATH DE number 52588 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- Modeling asset returns with alternative stable distributions*
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- Subexponentiality and infinite divisibility
- The distribution of Brownian quantiles
- 𝜉-radial processes and random Fourier series
Cited in
(8)- On the tail behaviour of quantile processes
- Distribution tails of sample quantiles and subexponentiality
- On sample marginal quantiles for stationary processes
- Sample quantiles of stochastic processes with stationary and independent ents
- Sampling at a random time with a heavy-tailed distribution
- Sample quantiles of additive renewal reward processes
- Pro‐cyclicality beyond business cycle
- A Conversation With Paul Embrechts
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