SPA seminar: On extreme quantile region estimation under heavy-tailed elliptical distributions

Abstract: Consider estimation of an extreme quantile region corresponding to a very small probability. Estimation of extreme quantile regions is important but difficult, since extreme regions contain only few or no observations. We propose an affine equivariant extreme quantile region estimator for heavy-tailed elliptical distributions. The estimator is constructed by extending a well-known univariate extreme quantile estimator. Consistency result for the extreme quantile region estimator under estimated location and scatter is presented.

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