Publication Date:
2018-07-28
Description:
Water, Vol. 10, Pages 996: Confidence Regions for Multivariate Quantiles Water doi: 10.3390/w10080996 Authors: Maximilian Coblenz Rainer Dyckerhoff Oliver Grothe Multivariate quantiles are of increasing importance in applications of hydrology. This calls for reliable methods to evaluate the precision of the estimated quantile sets. Therefore, we focus on two recently developed approaches to estimate confidence regions for level sets and extend them to provide confidence regions for multivariate quantiles based on copulas. In a simulation study, we check coverage probabilities of the employed approaches. In particular, we focus on small sample sizes. One approach shows reasonable coverage probabilities and the second one obtains mixed results. Not only the bounded copula domain but also the additional estimation of the quantile level pose some problems. A small sample application gives further insight into the employed techniques.
Electronic ISSN:
2073-4441
Topics:
Energy, Environment Protection, Nuclear Power Engineering
Permalink