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DOI: 10.5445/IR/1000085950
Veröffentlicht am 24.09.2018

Confidence Regions for Multivariate Quantiles

Coblenz, Maximilian; Dyckerhoff, Rainer; Grothe, Oliver

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.

Zugehörige Institution(en) am KIT Institut für Operations Research (IOR)
Publikationstyp Zeitschriftenaufsatz
Jahr 2018
Sprache Englisch
Identifikator ISSN: 2073-4441
URN: urn:nbn:de:swb:90-859505
KITopen-ID: 1000085950
Erschienen in Water
Band 10
Heft 8
Seiten Article: 996
Bemerkung zur Veröffentlichung This article belongs to the Special Issue Advances in Multivariate Analysis of Environmental Phenomena: Celebrating the 15th Anniversary of Copulas in Hydrology.
Gefördert durch den KIT-Publikationsfonds
Vorab online veröffentlicht am 27.07.2018
Schlagworte confidence regions; copulas; hydrology; level set estimation; multivariate quantiles
Nachgewiesen in Scopus
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