On extreme quantile region estimation under heavy-tailed elliptical distributions

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-03-20 DOI:10.1016/j.jmva.2024.105314

Jaakko Pere , Pauliina Ilmonen , Lauri Viitasaari

引用次数: 0

Abstract

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.

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重尾椭圆分布下的极值量级区域估计

考虑估算与极小概率相对应的极值量级区域。极值量分区域的估计很重要，但却很困难，因为极值区域只包含少数观测值或不包含观测值。在本文中，我们提出了一种针对重尾椭圆分布的仿射等变极端量级区域估计器。该估计器是通过扩展著名的单变量极值量级估计器来构建的。在估计位置和散度条件下，证明了估计器的一致性。通过模拟和真实数据示例说明了所开发估计器的实用性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.