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Large Quantile Estimation in a Multivariate Setting

โœ Scribed by L. Dehaan; X. Huang

Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
430 KB
Volume
53
Category
Article
ISSN
0047-259X

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โœฆ Synopsis

An asymptotic theory is developed for the estimation of high quantile curves, i.e., sets of points in higher dimensional space for which the exeedance probability is (p_{n}), with (n p_{n} \rightarrow 0(n \rightarrow \infty)). Here (n) is the number of available observations. This is the situation of interest if one wants to protect against a calamity that has not yet occurred. Asymptotic normality of the estimated quantile curve is proved under appropriate conditions, including the domain of the attraction condition for multivariate extremes. 1995 Academic Press. Inc.

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