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Register a new userOn the estimation of extreme directional multivariate quantiles
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Added by
Ra\\'ul Torres
Publication date
2016
fields
Mathematical Statistics
and research's language is
English
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No Arabic abstract
In multivariate extreme value theory (MEVT), the focus is on analysis outside of the observable sampling zone, which implies that the region of interest is associated to high risk levels. This work provides tools to include directional notions into the MEVT, giving the opportunity to characterize the recently introduced directional multivariate quantiles (DMQ) at high levels. Then, an out-sample estimation method for these quantiles is given. A bootstrap procedure carries out the estimation of the tuning parameter in this multivariate framework and helps with the estimation of the DMQ. Asymptotic normality for the proposed estimator is provided and the methodology is illustrated with simulated data-sets. Finally, a real-life application to a financial case is also performed.
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We give an axiomatic foundation to $Lambda$-quantiles, a family of generalized quantiles introduced by Frittelli et al. (2014) under the name of Lambda Value at Risk. Under mild assumptions, we show that these functionals are characterized by a property that we call locality, that means that any change in the distribution of the probability mass that arises entirely above or below the value of the $Lambda$-quantile does not modify its value. We compare with a related axiomatization of the usual quantiles given by Chambers (2009), based on the stronger property of ordinal covariance, that means that quantiles are covariant with respect to increasing transformations. Further, we present a systematic treatment of the properties of $Lambda$-quantiles, refining some of the results of Frittelli et al. (2014) and Burzoni et al. (2017) and showing that in the case of a nonincreasing $Lambda$ the properties of $Lambda$-quantiles closely resemble those of the usual quantiles.
Several environmental phenomena can be described by different correlated variables that must be considered jointly in order to be more representative of the nature of these phenomena. For such events, identification of extremes is inappropriate if it is based on marginal analysis. Extremes have usually been linked to the notion of quantile, which is an important tool to analyze risk in the univariate setting. We propose to identify multivariate extremes and analyze environmental phenomena in terms of the directional multivariate quantile, which allows us to analyze the data considering all the variables implied in the phenomena, as well as look at the data in interesting directions that can better describe an environmental catastrophe. Since there are many references in the literature that propose extremes detection based on copula models, we also generalize the copula method by introducing the directional approach. Advantages and disadvantages of the non-parametric proposal that we introduce and the copula methods are provided in the paper. We show with simulated and real data sets how by considering the first principal component direction we can improve the visualization of extremes. Finally, two cases of study are analyzed: a synthetic case of flood risk at a dam (a 3-variable case), and a real case study of sea storms (a 5-variable case).
For testing two random vectors for independence, we consider testing whether the distance of one vector from a center point is independent from the distance of the other vector from a center point by a univariate test. In this paper we provide conditions under which it is enough to have a consistent univariate test of independence on the distances to guarantee that the power to detect dependence between the random vectors increases to one, as the sample size increases. These conditions turn out to be minimal. If the univariate test is distribution-free, the multivariate test will also be distribution-free. If we consider multiple center points and aggregate the center-specific univariate tests, the power may be further improved, and the resulting multivariate test may be distribution-free for specific aggregation methods (if the univariate test is distribution-free). We show that several multivariate tests recently proposed in the literature can be viewed as instances of this general approach.
Consider the empirical measure, $hat{mathbb{P}}_N$, associated to $N$ i.i.d. samples of a given probability distribution $mathbb{P}$ on the unit interval. For fixed $mathbb{P}$ the Wasserstein distance between $hat{mathbb{P}}_N$ and $mathbb{P}$ is a random variable on the sample space $[0,1]^N$. Our main result is that its normalised quantiles are asymptotically maximised when $mathbb{P}$ is a convex combination between the uniform distribution supported on the two points ${0,1}$ and the uniform distribution on the unit interval $[0,1]$. This allows us to obtain explicit asymptotic confidence regions for the underlying measure $mathbb{P}$. We also suggest extensions to higher dimensions with numerical evidence.
For extreme value copulas with a known upper tail dependence coefficient we find pointwise upper and lower bounds, which are used to establish upper and lower bounds of the Spearman and Kendall correlation coefficients. We shown that in all cases the lower bounds are attained on Marshall--Olkin copulas, and the upper ones, on copulas with piecewise linear dependence functions.
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