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

N. V. Gribkova (), J. Su () and R. Zitikis ()
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N. V. Gribkova: Saint Petersburg State University
J. Su: Purdue University
R. Zitikis: Western University

Annals of the Institute of Statistical Mathematics, 2024, vol. 76, issue 5, No 4, 850 pages

Abstract: 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 statistics; Concomitants; Resampling; Coverage probability (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10463-024-00904-x

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