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Artículo
Estimation of extreme quantiles conditioning on multivariate critical layers
dc.creator | Di Bernardino, Elena | es |
dc.creator | Palacios Rodríguez, Fátima | es |
dc.date.accessioned | 2024-09-20T09:50:24Z | |
dc.date.available | 2024-09-20T09:50:24Z | |
dc.date.issued | 2016-02-08 | |
dc.identifier.citation | Di Bernardino, E. y Palacios Rodríguez, F. (2016). Estimation of extreme quantiles conditioning on multivariate critical layers. Environmetrics, 27 (3), 158-168. https://doi.org/10.1002/env.2385. | |
dc.identifier.issn | 1180-4009 | es |
dc.identifier.issn | 1099-095X | es |
dc.identifier.uri | https://hdl.handle.net/11441/162683 | |
dc.description.abstract | 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. | es |
dc.format | application/pdf | es |
dc.format.extent | 39 p. | es |
dc.language.iso | eng | es |
dc.publisher | Wiley | es |
dc.relation.ispartof | Environmetrics, 27 (3), 158-168. | |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internacional | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
dc.subject | Multivariate risk measures | es |
dc.subject | return levels | es |
dc.subject | critical layers | es |
dc.subject | extreme quantile | es |
dc.title | Estimation of extreme quantiles conditioning on multivariate critical layers | es |
dc.type | info:eu-repo/semantics/article | es |
dc.type.version | info:eu-repo/semantics/acceptedVersion | es |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | es |
dc.contributor.affiliation | Universidad de Sevilla. Departamento de Estadística e Investigación Operativa | es |
dc.relation.publisherversion | https://dx.doi.org/10.1002/env.2385 | es |
dc.identifier.doi | 10.1002/env.2385 | es |
dc.contributor.group | Universidad de Sevilla. FQM328. Métodos cuantitativos en evaluación | es |
dc.journaltitle | Environmetrics | es |
dc.publication.volumen | 27 | es |
dc.publication.issue | 3 | es |
dc.publication.initialPage | 158 | es |
dc.publication.endPage | 168 | es |
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