Large quantile estimation in a multivariate setting

DOI10.1006/JMVA.1995.1035zbMath0820.62045OpenAlexW1971592402MaRDI QIDQ1893362

Xin Huang, Laurens De Haan

Publication date: 14 September 1995

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: http://repub.eur.nl/pub/58148

zbMATH Keywords

order statisticsasymptotic normalitydomain of attractionexceedance probabilityhigh tide water levelsestimated quantile curveestimation of extreme quantile curvessea-diketwo-dimensional distributions

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Applications of statistics (62P99) Survival analysis and censored data (62N99)

Related Items (10)

Estimating extreme bivariate quantile regions ⋮ On the estimation of extreme directional multivariate quantiles ⋮ Depth level set estimation and associated risk measures ⋮ Estimation of multivariate tail quantities ⋮ Estimation of extreme quantiles conditioning on multivariate critical layers ⋮ Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory ⋮ Limit laws for multidimensional extremes ⋮ Estimation of multivariate conditional-tail-expectation using Kendall's process ⋮ It was 30 years ago today when Laurens de Haan went the multivariate way ⋮ Estimating covariate functions associated to multivariate risks: a level set approach

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