评估尾部条件分配的固定边际置信区间的覆盖概率

IF 0.8 4区数学 Q3 STATISTICS & PROBABILITY

Annals of the Institute of Statistical Mathematics Pub Date : 2024-04-23 DOI:10.1007/s10463-024-00904-x

N. V. Gribkova, J. Su, R. Zitikis

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引用次数: 0

摘要

尾部条件分配在经济、金融、保险和管理等多个领域发挥着重要作用。固定边际置信区间及其覆盖概率的评估备受关注。在本文中，我们提供了一种通过重采样实现这些目标的便捷方法。本文的理论部分对技术要求很高，但为了便于最广泛的实际应用，我们在最低条件下建立了严格的理论。基于模拟的研究和对真实数据的分析说明了所开发方法的性能。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Assessing the coverage probabilities of fixed-margin confidence intervals for the tail conditional allocation

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Assessing the coverage probabilities of fixed-margin confidence intervals for the tail conditional allocation

The tail conditional allocation plays an important role in a number of areas, including economics, finance, insurance, and management. Fixed-margin confidence intervals and the assessment of their coverage probabilities are of much interest. In this paper, we offer a convenient way to achieve these goals via resampling. The theoretical part of the paper, which is technically demanding, is rigorously established under minimal conditions to facilitate the widest practical use. A simulation-based study and an analysis of real data illustrate the performance of the developed methodology.

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来源期刊

Annals of the Institute of Statistical Mathematics 数学-统计学与概率论

CiteScore

2.00

自引率

0.00%

发文量

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.