Assessing the coverage probabilities of fixed-margin confidence intervals for the tail conditional allocation

Standard

Assessing the coverage probabilities of fixed-margin confidence intervals for the tail conditional allocation. / Грибкова, Надежда Викторовна; Su, Jianxi; Zitikis, Ričardas.

In: Annals of the Institute of Statistical Mathematics, Vol. 76, 01.10.2024, p. 821-850.

Research output: Contribution to journal › Article › peer-review

BibTeX

@article{6345a8ddd5434e1c87e180883ce408a2,

title = "Assessing the coverage probabilities of fixed-margin confidence intervals for the tail conditional allocation",

abstract = "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.",

keywords = "Tail conditional allocation, Order statistic, Concomitants, Resampling, Coverage probability, Concomitants, Coverage probability, Order statistics, Resampling, Tail conditional allocation",

author = "Грибкова, {Надежда Викторовна} and Jianxi Su and Ri{\v c}ardas Zitikis",

note = "Gribkova, N.V., Su, J. & Zitikis, R. Assessing the coverage probabilities of fixed-margin confidence intervals for the tail conditional allocation. Ann Inst Stat Math (2024). https://doi.org/10.1007/s10463-024-00904-x",

year = "2024",

month = oct,

day = "1",

doi = "10.1007/s10463-024-00904-x",

language = "English",

volume = "76",

pages = "821--850",

journal = "Annals of the Institute of Statistical Mathematics",

issn = "0020-3157",

publisher = "Springer Nature",

}

RIS

TY - JOUR

T1 - Assessing the coverage probabilities of fixed-margin confidence intervals for the tail conditional allocation

AU - Грибкова, Надежда Викторовна

AU - Su, Jianxi

AU - Zitikis, Ričardas

N1 - Gribkova, N.V., Su, J. & Zitikis, R. Assessing the coverage probabilities of fixed-margin confidence intervals for the tail conditional allocation. Ann Inst Stat Math (2024). https://doi.org/10.1007/s10463-024-00904-x

PY - 2024/10/1

Y1 - 2024/10/1

N2 - 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.

AB - 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.

KW - Tail conditional allocation

KW - Order statistic

KW - Concomitants

KW - Resampling

KW - Coverage probability

KW - Concomitants

KW - Coverage probability

KW - Order statistics

KW - Resampling

KW - Tail conditional allocation

UR - https://www.mendeley.com/catalogue/a35615ef-be39-3505-a1f9-2206c58fcc1e/

U2 - 10.1007/s10463-024-00904-x

DO - 10.1007/s10463-024-00904-x

M3 - Article

VL - 76

SP - 821

EP - 850

JO - Annals of the Institute of Statistical Mathematics

JF - Annals of the Institute of Statistical Mathematics

SN - 0020-3157

ER -

ID: 119315462