Department seminar by Maximilian Coblenz, Karlsruhe Institute of TechnologyExport this event to calendar

Monday, September 18, 2017 — 4:00 PM EDT

Multivariate Quantiles: Nonparametric Estimation and Applications to Risk Management

In many applications of hydrology, quantiles provide important insights in the statistical problems considered. In this talk, we focus on the estimation of a notion of multivariate quantiles based on copulas and provide a nonparametric estimation procedure. These quantiles are based on particular level sets of copulas and admit the usual probabilistic interpretation that a p-quantile comprises a probability mass p. We also explore the usefulness of a smoothed bootstrap in the estimation process. Our simulation results show that the nonparametric estimation procedure yields excellent results in finite samples and that the smoothed bootstrap can be beneficially applied.

Location 
M3 - Mathematics 3
Room: 3127
200 University Avenue West
Waterloo, ON N2L 3G1
Canada

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