Coblenz, Maximilian, Dyckerhoff, Rainer ORCID: 0000-0002-3631-8497 and Grothe, Oliver (2018). Confidence Regions for Multivariate Quantiles. Water, 10 (8). BASEL: MDPI. ISSN 2073-4441

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Abstract

Multivariate quantiles are of increasing importance in applications of hydrology. This calls for reliable methods to evaluate the precision of the estimated quantile sets. Therefore, we focus on two recently developed approaches to estimate confidence regions for level sets and extend them to provide confidence regions for multivariate quantiles based on copulas. In a simulation study, we check coverage probabilities of the employed approaches. In particular, we focus on small sample sizes. One approach shows reasonable coverage probabilities and the second one obtains mixed results. Not only the bounded copula domain but also the additional estimation of the quantile level pose some problems. A small sample application gives further insight into the employed techniques.

Item Type: Journal Article
Creators:
CreatorsEmailORCIDORCID Put Code
Coblenz, MaximilianUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
Dyckerhoff, RainerUNSPECIFIEDorcid.org/0000-0002-3631-8497UNSPECIFIED
Grothe, OliverUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
URN: urn:nbn:de:hbz:38-177613
DOI: 10.3390/w10080996
Journal or Publication Title: Water
Volume: 10
Number: 8
Date: 2018
Publisher: MDPI
Place of Publication: BASEL
ISSN: 2073-4441
Language: English
Faculty: Unspecified
Divisions: Unspecified
Subjects: no entry
Uncontrolled Keywords:
KeywordsLanguage
LEVEL SETS; COPULAS; RISKMultiple languages
Water ResourcesMultiple languages
Refereed: Yes
URI: http://kups.ub.uni-koeln.de/id/eprint/17761

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