条件稳定尾相关函数的鲁棒估计

IF 0.8 4区 数学 Q3 STATISTICS & PROBABILITY Annals of the Institute of Statistical Mathematics Pub Date : 2022-06-28 DOI:10.1007/s10463-022-00839-1
Yuri Goegebeur, Armelle Guillou, Jing Qin
{"title":"条件稳定尾相关函数的鲁棒估计","authors":"Yuri Goegebeur,&nbsp;Armelle Guillou,&nbsp;Jing Qin","doi":"10.1007/s10463-022-00839-1","DOIUrl":null,"url":null,"abstract":"<div><p>We propose a robust estimator of the stable tail dependence function in the case where random covariates are recorded. Under suitable assumptions, we derive the finite-dimensional weak convergence of the estimator properly normalized. The performance of our estimator in terms of efficiency and robustness is illustrated through a simulation study. Our methodology is applied on a real dataset of sale prices of residential properties.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":null,"pages":null},"PeriodicalIF":0.8000,"publicationDate":"2022-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10463-022-00839-1.pdf","citationCount":"1","resultStr":"{\"title\":\"Robust estimation of the conditional stable tail dependence function\",\"authors\":\"Yuri Goegebeur,&nbsp;Armelle Guillou,&nbsp;Jing Qin\",\"doi\":\"10.1007/s10463-022-00839-1\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>We propose a robust estimator of the stable tail dependence function in the case where random covariates are recorded. Under suitable assumptions, we derive the finite-dimensional weak convergence of the estimator properly normalized. The performance of our estimator in terms of efficiency and robustness is illustrated through a simulation study. Our methodology is applied on a real dataset of sale prices of residential properties.</p></div>\",\"PeriodicalId\":55511,\"journal\":{\"name\":\"Annals of the Institute of Statistical Mathematics\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.8000,\"publicationDate\":\"2022-06-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://link.springer.com/content/pdf/10.1007/s10463-022-00839-1.pdf\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Annals of the Institute of Statistical Mathematics\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://link.springer.com/article/10.1007/s10463-022-00839-1\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Annals of the Institute of Statistical Mathematics","FirstCategoryId":"100","ListUrlMain":"https://link.springer.com/article/10.1007/s10463-022-00839-1","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
引用次数: 1

摘要

在记录随机协变量的情况下,我们提出了稳定尾相关函数的鲁棒估计。在适当的假设条件下,我们得到了适当归一化估计量的有限维弱收敛性。通过仿真研究说明了该估计器在效率和鲁棒性方面的性能。我们的方法应用于住宅物业销售价格的真实数据集。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

摘要图片

查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
Robust estimation of the conditional stable tail dependence function

We propose a robust estimator of the stable tail dependence function in the case where random covariates are recorded. Under suitable assumptions, we derive the finite-dimensional weak convergence of the estimator properly normalized. The performance of our estimator in terms of efficiency and robustness is illustrated through a simulation study. Our methodology is applied on a real dataset of sale prices of residential properties.

求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
CiteScore
2.00
自引率
0.00%
发文量
39
审稿时长
6-12 weeks
期刊介绍: Annals of the Institute of Statistical Mathematics (AISM) aims to provide a forum for open communication among statisticians, and to contribute to the advancement of statistics as a science to enable humans to handle information in order to cope with uncertainties. It publishes high-quality papers that shed new light on the theoretical, computational and/or methodological aspects of statistical science. Emphasis is placed on (a) development of new methodologies motivated by real data, (b) development of unifying theories, and (c) analysis and improvement of existing methodologies and theories.
期刊最新文献
Estimation of value-at-risk by $$L^{p}$$ quantile regression Simplified quasi-likelihood analysis for a locally asymptotically quadratic random field Asymptotic expected sensitivity function and its applications to measures of monotone association Penalized estimation for non-identifiable models Hidden AR process and adaptive Kalman filter
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1