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- W4301456871 abstract "In multivariate extreme value theory (MEVT), the focus is on analysis outside of the observable sampling zone, which implies that the region of interest is associated to high risk levels. This work provides tools to include directional notions into the MEVT, giving the opportunity to characterize the recently introduced directional multivariate quantiles (DMQ) at high levels. Then, an out-sample estimation method for these quantiles is given. A bootstrap procedure carries out the estimation of the tuning parameter in this multivariate framework and helps with the estimation of the DMQ. Asymptotic normality for the proposed estimator is provided and the methodology is illustrated with simulated data-sets. Finally, a real-life application to a financial case is also performed." @default.
- W4301456871 created "2022-10-05" @default.
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- W4301456871 date "2016-10-26" @default.
- W4301456871 modified "2023-09-23" @default.
- W4301456871 title "On the estimation of extreme directional multivariate quantiles" @default.
- W4301456871 doi "https://doi.org/10.48550/arxiv.1610.08386" @default.
- W4301456871 hasPublicationYear "2016" @default.
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