winston operations research pdf A Directorial Notion of Multivariate Extreme Value Analysis

A Directorial Notion of Multivariate Extreme Value Analysis. Raúl A. Torres Díaz (joint work with: Elena Di Bernardino, CNAM Paris, Henry Laniado, EAFIT Medellín, Rosa E. Lillo, UC3M Madrid). Department of Statistics and Operation Research, Universidad de Valladolid. Mayo 18 de 2018
Abstract. Extreme value theory has been commonly applied in fields such as insurance, finance, economy and environmental science. It focuses on the quantification of the multivariate risks outside of the observable sampling zone; that is the analysis of multivariate quantiles to determine extreme regions located at high levels. However, the lack of a total order in the multivariate framework implies quantile concepts with a directional notion involved, as we appreciate in the growing literature on this matter. Therefore, this work provides an out-sample estimation method for the recently introduced Directional Multivariate Quantiles. The asymptotic normality of the proposed estimator is derived. And finally, the methodology is illustrated with an example for which the theoretical directional multivariate quantiles are known
Escuela de Ciencias Universidad EAFIT. Mayo 18 de 2018
Seminario de Doctorado en Ingeniería Matemática Universidad EAFIT
Seminar of the PhD in Mathematical Engineering EAFIT University.

winston operations research pdf A Directorial Notion of Multivariate Extreme Value Analysis
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