Confidence Regions for Multivariate Quantiles - Kölner UniversitätsPublikationsServer

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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DOI:10.3390/w10080996

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:

Creators	Email	ORCID	ORCID Put Code
Coblenz, Maximilian	UNSPECIFIED	UNSPECIFIED	UNSPECIFIED
Dyckerhoff, Rainer	UNSPECIFIED	orcid.org/0000-0002-3631-8497	UNSPECIFIED
Grothe, Oliver	UNSPECIFIED	UNSPECIFIED	UNSPECIFIED