The tail conditional allocation plays an important role in a number of areas, including economics, finance, insurance, and management. Fixed-margin confidence intervals and the assessment of their coverage probabilities are of much interest. In this paper, we offer a convenient way to achieve these goals via resampling. The theoretical part of the paper, which is technically demanding, is rigorously established under minimal conditions to facilitate the widest practical use. A simulation-based study and an analysis of real data illustrate the performance of the developed methodology.
Original languageEnglish
Pages (from-to)821-850
JournalAnnals of the Institute of Statistical Mathematics
Volume76
Early online date23 Apr 2024
DOIs
StatePublished - 1 Oct 2024

    Research areas

  • Concomitants, Coverage probability, Order statistics, Resampling, Tail conditional allocation

    Scopus subject areas

  • Mathematics(all)

ID: 119315462