On the Behavior of Extreme d-dimensional Spatial Quantiles Under Minimal Assumptions

Davy Paindaveine () and Joni Virta ()
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Davy Paindaveine: Université libre de Bruxelles (ECARES and Department of Mathematics) and Université Toulouse 1 Capitole (Toulouse School of Economics)
Joni Virta: University of Turku (Department of Mathematics and Statistics) and Aalto University School of Science (Department of Mathematics and Systems Analysis)

A chapter in Advances in Contemporary Statistics and Econometrics, 2021, pp 243-259 from Springer

Abstract: Abstract Spatial or geometric quantiles are among the most celebrated concepts of multivariate quantiles. The spatial quantile $$\mu _{\alpha ,u}(P)$$ μ α , u ( P ) of a probability measure P over $$\mathbb {R}^d$$ R d is a point in $$\mathbb R^d$$ R d indexed by an order $$\alpha \in [0,1)$$ α ∈ [ 0 , 1 ) and a direction u in the unit sphere $$\mathcal {S}^{d-1}$$ S d - 1 of $$\mathbb R^d$$ R d —or equivalently by a vector $$\alpha u$$ α u in the open unit ball of $$\mathbb R^d$$ R d . Recently, Girard and Stupfler (2017) proved that (i) the extreme quantiles $$\mu _{\alpha ,u}(P)$$ μ α , u ( P ) obtained as $$\alpha \rightarrow 1$$ α → 1 exit all compact sets of $$\mathbb R^d$$ R d and that (ii) they do so in a direction converging to u. These results help understanding the nature of these quantiles: the first result is particularly striking as it holds even if P has a bounded support, whereas the second one clarifies the delicate dependence of spatial quantiles on u. However, they were established under assumptions imposing that P is non-atomic, so that it is unclear whether they hold for empirical probability measures. We improve on this by proving these results under much milder conditions, allowing for the sample case. This prevents using gradient condition arguments, which makes the proofs very challenging. We also weaken the well-known sufficient condition for the uniqueness of finite-dimensional spatial quantiles.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-73249-3_13

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DOI: 10.1007/978-3-030-73249-3_13

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