Plug-in estimation of level sets in a non-compact setting with applications in multivariate risk theory
ESAIM: Probability and Statistics, Tome 17 (2013), pp. 236-256.

This paper deals with the problem of estimating the level sets L(c) =  {F(x) ≥ c}, with c ∈ (0,1), of an unknown distribution function F on ℝ+2. A plug-in approach is followed. That is, given a consistent estimator Fn of F, we estimate L(c) by Ln(c) =  {Fn(x) ≥ c}. In our setting, non-compactness property is a priori required for the level sets to estimate. We state consistency results with respect to the Hausdorff distance and the volume of the symmetric difference. Our results are motivated by applications in multivariate risk theory. In particular we propose a new bivariate version of the conditional tail expectation by conditioning the two-dimensional random vector to be in the level set L(c). We also present simulated and real examples which illustrate our theoretical results.

DOI : 10.1051/ps/2011161
Classification : 62G05, 62G20, 60E05, 91B30
Mots-clés : level sets, distribution function, plug-in estimation, Hausdorff distance, conditional tail expectation 
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     author = {Di Bernardino, Elena and Lalo\"e, Thomas and Maume-Deschamps, V\'eronique and Prieur, Cl\'ementine},
     title = {Plug-in estimation of level sets in a non-compact setting with applications in multivariate risk theory},
     journal = {ESAIM: Probability and Statistics},
     pages = {236--256},
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     mrnumber = {3021318},
     language = {en},
     url = {http://www.numdam.org/articles/10.1051/ps/2011161/}
}
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Di Bernardino, Elena; Laloë, Thomas; Maume-Deschamps, Véronique; Prieur, Clémentine. Plug-in estimation of level sets in a non-compact setting with applications in multivariate risk theory. ESAIM: Probability and Statistics, Tome 17 (2013), pp. 236-256. doi : 10.1051/ps/2011161. http://www.numdam.org/articles/10.1051/ps/2011161/

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