|
 
|
[D 16] Estimation of extreme quantiles conditioning on multivariate critical layers
Revue Internationale avec comité de lecture : Journal Environmetrics, vol. 27(3), pp. 158-168, 2016
motcle:
Résumé:
The aim of this work is to propose a non-parametric extreme estimation
procedure for a multivariate quantile. An extrapolation
method is developed under the Archimedean copula assumption for the dependence structure of X and the von Mises condition for marginal X_i. The main result is the central limit theorem for our estimator. A set of simulations illustrates the finite-sample performance of the proposed estimator. We finally illustrate how the proposed estimation procedure can help in the evaluation of extreme multivariate hydrological risks.
BibTeX
| @article { | |||
| D 16, | |||
| title | = | "{Estimation of extreme quantiles conditioning on multivariate critical layers}", | |
| author | = | "E. Di Bernardino and F. Palacios-Rodriguez", | |
| journal | = | "Environmetrics", | |
| year | = | 2016, | |
| volume | = | 27, | |
| number | = | 3, | |
| pages | = | "158-168", | |
| } | |||
