Testing multivariate quantile by empirical likelihood

Xuejun Ma, Shaochen Wang and Wang Zhou

Journal of Multivariate Analysis, 2021, vol. 182, issue C

Abstract: In this paper, a new method called mean-of-quantile is introduced to estimate multivariate quantiles. The consistency and asymptotic normality of mean-of-quantile estimators are investigated. Furthermore, we apply empirical likelihood to mean-of-quantile estimators. The effectiveness of our new method is illustrated by Monte Carlo simulations and an empirical example.

Keywords: Empirical likelihood; Hypothesis test; Mean-of-quantile; Multivariate quantile (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.jmva.2020.104705

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