Estimation of extreme quantiles for functions of dependent random variables
نویسندگان
چکیده
منابع مشابه
Estimation of Extreme Quantiles for Functions of Dependent Random Variables
We propose a new method for estimating the extreme quantiles for a function of several dependent random variables. In contrast to the conventional approach based on extreme value theory, we do not impose the condition that the tail of the underlying distribution admits an approximate parametric form, and, furthermore, our estimation makes use of the full observed data. The proposed method is se...
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ژورنال
عنوان ژورنال: Journal of the Royal Statistical Society: Series B (Statistical Methodology)
سال: 2014
ISSN: 1369-7412
DOI: 10.1111/rssb.12103