On extreme quantile region estimation under heavy-tailed elliptical distributions
dc.contributor | Aalto-yliopisto | fi |
dc.contributor | Aalto University | en |
dc.contributor.author | Pere, Jaakko | en_US |
dc.contributor.author | Ilmonen, Pauliina | en_US |
dc.contributor.author | Viitasaari, Lauri | en_US |
dc.contributor.department | Department of Mathematics and Systems Analysis | en |
dc.contributor.department | Department of Information and Service Management | en |
dc.contributor.groupauthor | Mathematical Statistics and Data Science | en |
dc.contributor.organization | Department of Mathematics and Systems Analysis | en_US |
dc.date.accessioned | 2024-04-10T11:29:13Z | |
dc.date.available | 2024-04-10T11:29:13Z | |
dc.date.issued | 2024-07 | en_US |
dc.description | Publisher Copyright: © 2024 The Author(s) | |
dc.description.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. | en |
dc.description.version | Peer reviewed | en |
dc.format.extent | 20 | |
dc.format.mimetype | application/pdf | en_US |
dc.identifier.citation | Pere, J, Ilmonen, P & Viitasaari, L 2024, ' On extreme quantile region estimation under heavy-tailed elliptical distributions ', Journal of Multivariate Analysis, vol. 202, 105314, pp. 1-20 . https://doi.org/10.1016/j.jmva.2024.105314 | en |
dc.identifier.doi | 10.1016/j.jmva.2024.105314 | en_US |
dc.identifier.issn | 0047-259X | |
dc.identifier.issn | 1095-7243 | |
dc.identifier.other | PURE UUID: 05ffcec1-9ad1-4379-a0c6-6244daae2900 | en_US |
dc.identifier.other | PURE ITEMURL: https://research.aalto.fi/en/publications/05ffcec1-9ad1-4379-a0c6-6244daae2900 | en_US |
dc.identifier.other | PURE LINK: http://www.scopus.com/inward/record.url?scp=85188901738&partnerID=8YFLogxK | en_US |
dc.identifier.other | PURE FILEURL: https://research.aalto.fi/files/143347554/On_extreme_quantile_region_estimation_under_heavy-tailed_elliptical_distributions.pdf | en_US |
dc.identifier.uri | https://aaltodoc.aalto.fi/handle/123456789/127388 | |
dc.identifier.urn | URN:NBN:fi:aalto-202404103010 | |
dc.language.iso | en | en |
dc.publisher | Academic Press | |
dc.relation.ispartofseries | Journal of Multivariate Analysis | |
dc.relation.ispartofseries | Volume 202, pp. 1-20 | |
dc.rights | openAccess | en |
dc.subject.keyword | Elliptical distribution | en_US |
dc.subject.keyword | Extreme quantile estimation | en_US |
dc.subject.keyword | Heavy-tailed distribution | en_US |
dc.subject.keyword | Multivariate quantile | en_US |
dc.title | On extreme quantile region estimation under heavy-tailed elliptical distributions | en |
dc.type | A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä | fi |
dc.type.version | publishedVersion |