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- W1874001539 abstract "Summary Consider the extreme quantile region induced by the half-space depth function HD of the form Q={x∈Rd:HD(x,P)⩽β}, such that PQ=p for a given, very small p > 0. Since this involves extrapolation outside the data cloud, this region can hardly be estimated through a fully non-parametric procedure. Using extreme value theory we construct a natural semiparametric estimator of this quantile region and prove a refined consistency result. A simulation study clearly demonstrates the good performance of our estimator. We use the procedure for risk management by applying it to stock market returns." @default.
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- W1874001539 date "2016-02-24" @default.
- W1874001539 modified "2023-09-27" @default.
- W1874001539 title "Estimation of Extreme Depth-Based Quantile Regions" @default.
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- W1874001539 doi "https://doi.org/10.1111/rssb.12163" @default.
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