RT Generic
T1 Multivariate extremality measure
A1 Lillo Rodríguez, Rosa Elvira
A1 Romo, Juan
A1 Laniado Rodas, Henry
A2 Universidad Carlos III de Madrid. Departamento de Estadística, 
AB We propose a new multivariate order based on a concept that we will callextremality". Given a unit vector, the extremality allows to measure the"farness" of a point with respect to a data cloud or to a distribution in thevector direction. We establish the most relevant properties of this measureand provide the theoretical basis for its nonparametric estimation. Weinclude two applications in Finance: a multivariate Value at Risk (VaR)with level sets constructed through extremality and a portfolio selectionstrategy based on the order induced by extremality.
YR 2010
FD 2010-06
LK https://hdl.handle.net/10016/8970
UL https://hdl.handle.net/10016/8970
LA eng
DS e-Archivo
RD 24 may. 2024