Extreme geometric quantiles in a multivariate regular variation framework
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| 024 | 7 | 0 | |a 10.1007/s10687-015-0226-0 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s10687-015-0226-0 | ||
| 245 | 0 | 0 | |a Extreme geometric quantiles in a multivariate regular variation framework |h [Elektronische Daten] |c [Stéphane Girard, Gilles Stupfler] |
| 520 | 3 | |a Considering extreme quantiles is a popular way to understand the tail of a distribution. While they have been extensively studied for univariate distributions, much less has been done for multivariate ones, primarily because there is no universally accepted definition of what a multivariate quantile or a multivariate distribution tail should be. In this paper, we focus on extreme geometric quantiles. In Girard and Stupfler (2015) Intriguing properties of extreme geometric quantiles, their asymptotics are established, both in direction and magnitude, under suitable integrability conditions, when the norm of the associated index vector tends to one. In this paper, we study extreme geometric quantiles when the integrability conditions are not fulfilled, in a framework of regular variation. | |
| 540 | |a Springer Science+Business Media New York, 2015 | ||
| 690 | 7 | |a Extreme quantile |2 nationallicence | |
| 690 | 7 | |a Geometric quantile |2 nationallicence | |
| 690 | 7 | |a Asymptotic behavior |2 nationallicence | |
| 690 | 7 | |a Multivariate regular variation |2 nationallicence | |
| 700 | 1 | |a Girard |D Stéphane |u Team Mistis, Inria Grenoble Rhône-Alpes & LJK, Inovallée, 655, av. de l'Europe, 38334, Montbonnot, Saint-Ismier Cedex, France |4 aut | |
| 700 | 1 | |a Stupfler |D Gilles |u Aix Marseille Université, CNRS, EHESS, Centrale Marseille, GREQAM UMR 7316, 13002, Marseille, France |4 aut | |
| 773 | 0 | |t Extremes |d Springer US; http://www.springer-ny.com |g 18/4(2015-12-01), 629-663 |x 1386-1999 |q 18:4<629 |1 2015 |2 18 |o 10687 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s10687-015-0226-0 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s10687-015-0226-0 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Girard |D Stéphane |u Team Mistis, Inria Grenoble Rhône-Alpes & LJK, Inovallée, 655, av. de l'Europe, 38334, Montbonnot, Saint-Ismier Cedex, France |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Stupfler |D Gilles |u Aix Marseille Université, CNRS, EHESS, Centrale Marseille, GREQAM UMR 7316, 13002, Marseille, France |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Extremes |d Springer US; http://www.springer-ny.com |g 18/4(2015-12-01), 629-663 |x 1386-1999 |q 18:4<629 |1 2015 |2 18 |o 10687 | ||