Regression-type analysis for multivariate extreme values

Detalhes bibliográficos
Autor(a) principal: de Carvalho, Miguel
Data de Publicação: 2022
Outros Autores: Kumukova, Alina, dos Reis, Gonçalo
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/151089
Resumo: Funding Information: The authors thank the Editor, Associate Editor, and two Referees for their constructive remarks and fruitful recommendations. In addition, the authors thank, without implicating, Johan Segers (Université catholique de Louvain) and Raphaël Huser (King Abdullah University of Science and Technology) for insightful discussions, suggestions, and comments. M. de Carvalho acknowledges support from the Fundação para a Ciência e a Tecnologia (Portuguese NSF) through the project UID/MAT/00006/2020. A. Kumukova was supported by The Maxwell Institute Graduate School in Analysis and its Applications, a Centre for Doctoral Training funded by the UK Engineering and Physical Sciences Research Council (grant EP/L016508/01), the Scottish Funding Council, Heriot–Watt University, and the University of Edinburgh. Publisher Copyright: © 2022, The Author(s).
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spelling Regression-type analysis for multivariate extreme valuesAngular measureBernstein polynomialsExtreme value copulaJoint extremesMultivariate extreme value distributionQuantile regressionStatistics of extremesStatistics and ProbabilityEngineering (miscellaneous)Economics, Econometrics and Finance (miscellaneous)Funding Information: The authors thank the Editor, Associate Editor, and two Referees for their constructive remarks and fruitful recommendations. In addition, the authors thank, without implicating, Johan Segers (Université catholique de Louvain) and Raphaël Huser (King Abdullah University of Science and Technology) for insightful discussions, suggestions, and comments. M. de Carvalho acknowledges support from the Fundação para a Ciência e a Tecnologia (Portuguese NSF) through the project UID/MAT/00006/2020. A. Kumukova was supported by The Maxwell Institute Graduate School in Analysis and its Applications, a Centre for Doctoral Training funded by the UK Engineering and Physical Sciences Research Council (grant EP/L016508/01), the Scottish Funding Council, Heriot–Watt University, and the University of Edinburgh. Publisher Copyright: © 2022, The Author(s).This paper devises a regression-type model for the situation where both the response and covariates are extreme. The proposed approach is designed for the setting where the response and covariates are modeled as multivariate extreme values, and thus contrarily to standard regression methods it takes into account the key fact that the limiting distribution of suitably standardized componentwise maxima is an extreme value copula. An important target in the proposed framework is the regression manifold, which consists of a family of regression lines obeying the latter asymptotic result. To learn about the proposed model from data, we employ a Bernstein polynomial prior on the space of angular densities which leads to an induced prior on the space of regression manifolds. Numerical studies suggest a good performance of the proposed methods, and a finance real-data illustration reveals interesting aspects on the conditional risk of extreme losses in two leading international stock markets.CMA - Centro de Matemática e AplicaçõesRUNde Carvalho, MiguelKumukova, Alinados Reis, Gonçalo2023-03-22T22:29:55Z2022-122022-12-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article28application/pdfhttp://hdl.handle.net/10362/151089eng1386-1999PURE: 56634341https://doi.org/10.1007/s10687-022-00446-6info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:33:33Zoai:run.unl.pt:10362/151089Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:54:27.658815Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Regression-type analysis for multivariate extreme values
title Regression-type analysis for multivariate extreme values
spellingShingle Regression-type analysis for multivariate extreme values
de Carvalho, Miguel
Angular measure
Bernstein polynomials
Extreme value copula
Joint extremes
Multivariate extreme value distribution
Quantile regression
Statistics of extremes
Statistics and Probability
Engineering (miscellaneous)
Economics, Econometrics and Finance (miscellaneous)
title_short Regression-type analysis for multivariate extreme values
title_full Regression-type analysis for multivariate extreme values
title_fullStr Regression-type analysis for multivariate extreme values
title_full_unstemmed Regression-type analysis for multivariate extreme values
title_sort Regression-type analysis for multivariate extreme values
author de Carvalho, Miguel
author_facet de Carvalho, Miguel
Kumukova, Alina
dos Reis, Gonçalo
author_role author
author2 Kumukova, Alina
dos Reis, Gonçalo
author2_role author
author
dc.contributor.none.fl_str_mv CMA - Centro de Matemática e Aplicações
RUN
dc.contributor.author.fl_str_mv de Carvalho, Miguel
Kumukova, Alina
dos Reis, Gonçalo
dc.subject.por.fl_str_mv Angular measure
Bernstein polynomials
Extreme value copula
Joint extremes
Multivariate extreme value distribution
Quantile regression
Statistics of extremes
Statistics and Probability
Engineering (miscellaneous)
Economics, Econometrics and Finance (miscellaneous)
topic Angular measure
Bernstein polynomials
Extreme value copula
Joint extremes
Multivariate extreme value distribution
Quantile regression
Statistics of extremes
Statistics and Probability
Engineering (miscellaneous)
Economics, Econometrics and Finance (miscellaneous)
description Funding Information: The authors thank the Editor, Associate Editor, and two Referees for their constructive remarks and fruitful recommendations. In addition, the authors thank, without implicating, Johan Segers (Université catholique de Louvain) and Raphaël Huser (King Abdullah University of Science and Technology) for insightful discussions, suggestions, and comments. M. de Carvalho acknowledges support from the Fundação para a Ciência e a Tecnologia (Portuguese NSF) through the project UID/MAT/00006/2020. A. Kumukova was supported by The Maxwell Institute Graduate School in Analysis and its Applications, a Centre for Doctoral Training funded by the UK Engineering and Physical Sciences Research Council (grant EP/L016508/01), the Scottish Funding Council, Heriot–Watt University, and the University of Edinburgh. Publisher Copyright: © 2022, The Author(s).
publishDate 2022
dc.date.none.fl_str_mv 2022-12
2022-12-01T00:00:00Z
2023-03-22T22:29:55Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/151089
url http://hdl.handle.net/10362/151089
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1386-1999
PURE: 56634341
https://doi.org/10.1007/s10687-022-00446-6
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 28
application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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