DOI

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.
Язык оригиналаанглийский
Страницы (с-по)821-850
ЖурналAnnals of the Institute of Statistical Mathematics
Том76
Дата раннего онлайн-доступа23 апр 2024
DOI
СостояниеОпубликовано - 1 окт 2024

    Области исследований

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

    Предметные области Scopus

  • Математика (все)

ID: 119315462