Eine Plattform für die Wissenschaft: Bauingenieurwesen, Architektur und Urbanistik
Eine Plattform für die Wissenschaft: Bauingenieurwesen, Architektur und Urbanistik
Estimation of extreme quantiles conditioning on multivariate critical layers
Let Ti:=[Xi|X∈∂L(α)], for i = 1,…,d, where X = (X1,…,Xd) is a risk vector and ∂L(α) is the associated multivariate critical layer at level α∈(0,1). The aim of this work is to propose a non‐parametric extreme estimation procedure for the (1 − pn)‐quantile of Ti for a fixed α and when pn→0, as the sample size n→+∞. An extrapolation method is developed under the Archimedean copula assumption for the dependence structure of X and the von Mises condition for marginal Xi. The main result is the central limit theorem for our estimator for p = pn→0, when n tends towards infinity. 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. Copyright © 2016 John Wiley & Sons, Ltd.
Estimation of extreme quantiles conditioning on multivariate critical layers
Let Ti:=[Xi|X∈∂L(α)], for i = 1,…,d, where X = (X1,…,Xd) is a risk vector and ∂L(α) is the associated multivariate critical layer at level α∈(0,1). The aim of this work is to propose a non‐parametric extreme estimation procedure for the (1 − pn)‐quantile of Ti for a fixed α and when pn→0, as the sample size n→+∞. An extrapolation method is developed under the Archimedean copula assumption for the dependence structure of X and the von Mises condition for marginal Xi. The main result is the central limit theorem for our estimator for p = pn→0, when n tends towards infinity. 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. Copyright © 2016 John Wiley & Sons, Ltd.
Estimation of extreme quantiles conditioning on multivariate critical layers
Bernardino, E. Di (Autor:in) / Palacios‐Rodríguez, F. (Autor:in)
Environmetrics ; 27 ; 158-168
01.05.2016
11 pages
Aufsatz (Zeitschrift)
Elektronische Ressource
Englisch
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