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