{"title":"重尾椭圆分布下的极值量级区域估计","authors":"Jaakko Pere , Pauliina Ilmonen , Lauri Viitasaari","doi":"10.1016/j.jmva.2024.105314","DOIUrl":null,"url":null,"abstract":"<div><p>Consider the estimation of an extreme quantile region corresponding to a very small probability. Estimation of extreme quantile regions is important but difficult since extreme regions contain only a few or no observations. In this article, we propose an affine equivariant extreme quantile region estimator for heavy-tailed elliptical distributions. The estimator is constructed by extending a well-known univariate extreme quantile estimator. Consistency of the estimator is proved under estimated location and scatter. The practicality of the developed estimator is illustrated with simulations and a real data example.</p></div>","PeriodicalId":16431,"journal":{"name":"Journal of Multivariate Analysis","volume":"202 ","pages":"Article 105314"},"PeriodicalIF":1.4000,"publicationDate":"2024-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0047259X24000216/pdfft?md5=9428a79c05ecd5a039851cfc8de51bac&pid=1-s2.0-S0047259X24000216-main.pdf","citationCount":"0","resultStr":"{\"title\":\"On extreme quantile region estimation under heavy-tailed elliptical distributions\",\"authors\":\"Jaakko Pere , Pauliina Ilmonen , Lauri Viitasaari\",\"doi\":\"10.1016/j.jmva.2024.105314\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>Consider the estimation of an extreme quantile region corresponding to a very small probability. Estimation of extreme quantile regions is important but difficult since extreme regions contain only a few or no observations. In this article, we propose an affine equivariant extreme quantile region estimator for heavy-tailed elliptical distributions. The estimator is constructed by extending a well-known univariate extreme quantile estimator. Consistency of the estimator is proved under estimated location and scatter. The practicality of the developed estimator is illustrated with simulations and a real data example.</p></div>\",\"PeriodicalId\":16431,\"journal\":{\"name\":\"Journal of Multivariate Analysis\",\"volume\":\"202 \",\"pages\":\"Article 105314\"},\"PeriodicalIF\":1.4000,\"publicationDate\":\"2024-03-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.sciencedirect.com/science/article/pii/S0047259X24000216/pdfft?md5=9428a79c05ecd5a039851cfc8de51bac&pid=1-s2.0-S0047259X24000216-main.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Multivariate Analysis\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0047259X24000216\",\"RegionNum\":3,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Multivariate Analysis","FirstCategoryId":"100","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0047259X24000216","RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
On extreme quantile region estimation under heavy-tailed elliptical distributions
Consider the estimation of an extreme quantile region corresponding to a very small probability. Estimation of extreme quantile regions is important but difficult since extreme regions contain only a few or no observations. In this article, we propose an affine equivariant extreme quantile region estimator for heavy-tailed elliptical distributions. The estimator is constructed by extending a well-known univariate extreme quantile estimator. Consistency of the estimator is proved under estimated location and scatter. The practicality of the developed estimator is illustrated with simulations and a real data example.
期刊介绍:
Founded in 1971, the Journal of Multivariate Analysis (JMVA) is the central venue for the publication of new, relevant methodology and particularly innovative applications pertaining to the analysis and interpretation of multidimensional data.
The journal welcomes contributions to all aspects of multivariate data analysis and modeling, including cluster analysis, discriminant analysis, factor analysis, and multidimensional continuous or discrete distribution theory. Topics of current interest include, but are not limited to, inferential aspects of
Copula modeling
Functional data analysis
Graphical modeling
High-dimensional data analysis
Image analysis
Multivariate extreme-value theory
Sparse modeling
Spatial statistics.