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Testing multivariate quantile by empirical likelihood

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  • Ma, Xuejun
  • Wang, Shaochen
  • Zhou, Wang

Abstract

In this paper, a new method called mean-of-quantile is introduced to estimate multivariate quantiles. The consistency and asymptotic normality of mean-of-quantile estimators are investigated. Furthermore, we apply empirical likelihood to mean-of-quantile estimators. The effectiveness of our new method is illustrated by Monte Carlo simulations and an empirical example.

Suggested Citation

  • Ma, Xuejun & Wang, Shaochen & Zhou, Wang, 2021. "Testing multivariate quantile by empirical likelihood," Journal of Multivariate Analysis, Elsevier, vol. 182(C).
    • Handle: RePEc:eee:jmvana:v:182:y:2021:i:c:s0047259x20302864
    DOI: 10.1016/j.jmva.2020.104705
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    References listed on IDEAS

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