Universität zu Köln

Coblenz, M., Dyckerhoff, R. and Grothe, O. (2018). Nonparametric estimation of multivariate quantiles. Environmetrics, 29 (2). HOBOKEN: WILEY. ISSN 1099-095X

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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.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Coblenz, M. UNSPECIFIED UNSPECIFIED UNSPECIFIED Dyckerhoff, R. UNSPECIFIED UNSPECIFIED UNSPECIFIED Grothe, O. UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-194546
DOI:	10.1002/env.2488
Journal or Publication Title:	Environmetrics
Volume:	29
Number:	2
Date:	2018
Publisher:	WILEY
Place of Publication:	HOBOKEN
ISSN:	1099-095X
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language PLUG-IN ESTIMATION; RETURN PERIOD; RISK; BOOTSTRAP; COPULAS; DESIGN Multiple languages Environmental Sciences; Mathematics, Interdisciplinary Applications; Statistics & Probability Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/19454