Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models (Q2073711): Difference between revisions

From MaRDI portal
RedirectionBot (talk | contribs)
Changed an Item
Set OpenAlex properties.
 
(3 intermediate revisions by 3 users not shown)
Property / describes a project that uses
 
Property / describes a project that uses: simest / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / cites work
 
Property / cites work: Relating quantiles and expectiles under weighted-symmetry / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of extreme quantiles from heavy-tailed distributions in a location-dispersion regression model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time series: theory and methods. / rank
 
Normal rank
Property / cites work
 
Property / cites work: When uniform weak convergence fails: empirical processes for dependence functions and residuals via epi- and hypographs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Extremal quantile regression / rank
 
Normal rank
Property / cites work
 
Property / cites work: Kernel estimators of extreme level curves / rank
 
Normal rank
Property / cites work
 
Property / cites work: Extremiles: A New Perspective on Asymmetric Least Squares / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of Tail Risk Based on Extreme Expectiles / rank
 
Normal rank
Property / cites work
 
Property / cites work: Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tail expectile process and risk assessment / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3486670 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5485944 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A moment estimator for the index of an extreme-value distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: Extreme quantile estimation for dependent data, with applications to finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tail dimension reduction for extreme quantile estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of the conditional tail index using a smoothed local Hill estimator / rank
 
Normal rank
Property / cites work
 
Property / cites work: New Reduced-bias Estimators of a Positive Extreme Value Index / rank
 
Normal rank
Property / cites work
 
Property / cites work: Investigating Smooth Multiple Regression by the Method of Average Derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of high conditional quantiles using the Hill estimator of the tail index / rank
 
Normal rank
Property / cites work
 
Property / cites work: A simple general approach to inference about the tail of a distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tail Index Estimation for a Filtered Dependent Time Series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Expectile asymptotics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semiparametric and nonparametric methods in econometrics / rank
 
Normal rank
Property / cites work
 
Property / cites work: \(L_{p}\)-estimators in ARCH models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Statistical Inference for Expectile‐based Risk Measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Assessing value at risk with CARE, the conditional autoregressive expectile models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient estimation in single index models through smoothing splines / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric kernel regression estimation near endpoints. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric Censored and Truncated Regression / rank
 
Normal rank
Property / cites work
 
Property / cites work: NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymmetric Least Squares Estimation and Testing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Symmetrically Trimmed Least Squares Estimation for Tobit Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Extreme value modelling of water-related insurance claims / rank
 
Normal rank
Property / cites work
 
Property / cites work: Residual estimators / rank
 
Normal rank
Property / cites work
 
Property / cites work: The central limit theorem under random truncation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of Relationships for Limited Dependent Variables / rank
 
Normal rank
Property / cites work
 
Property / cites work: Regression Models with Time Series Errors / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semiparametric modeling and estimation of heteroscedasticity in regression analysis of cross-sectional data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Improving precipitation forecasts using extreme quantile regression / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of Extreme Conditional Quantiles Through Power Transformation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of High Conditional Quantiles for Heavy-Tailed Distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of Parameters and Larger Quantiles Based on the k Largest Observations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating a distribution function with truncated data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semiparametric estimation of conditional heteroscedasticitity via single-index modeling / rank
 
Normal rank
Property / cites work
 
Property / cites work: COHERENCE AND ELICITABILITY / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1214/21-aos2087 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W3014934082 / rank
 
Normal rank

Latest revision as of 09:33, 30 July 2024

scientific article
Language Label Description Also known as
English
Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
scientific article

    Statements

    Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models (English)
    0 references
    0 references
    0 references
    7 February 2022
    0 references
    expectiles
    0 references
    extreme value analysis
    0 references
    heavy-tailed distribution
    0 references
    heteroscedasticity
    0 references
    regression models
    0 references
    residual-based estimators
    0 references
    single-index model
    0 references
    tail empirical process of residuals
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references