Nonparametric estimation of multivariate quantiles

M. Coblenz, R. Dyckerhoff and O. Grothe

Environmetrics, 2018, vol. 29, issue 2

Abstract: In many applications of hydrology, quantiles provide important insights in the statistical problems considered. In this paper, we focus on the estimation of multivariate quantiles based on copulas. We provide a nonparametric estimation procedure for a notion of multivariate quantiles, which has been used in a series of papers. 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 and that the smoothed bootstrap can be beneficially applied. The main purpose of our paper is to provide an easily applicable method for practitioners and applied researchers in domains such as hydrology and coastal engineering.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1002/env.2488

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:envmet:v:29:y:2018:i:2:n:e2488

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1180-4009

Access Statistics for this article

More articles in Environmetrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().