Inference for extremal regression with dependent heavy-tailed data

DOI10.1214/23-AOS2320OpenAlexW4281285386MaRDI QIDQ6183770

Abdelaati Daouia, Antoine Usseglio-Carleve, Gilles Stupfler

Publication date: 4 January 2024

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/annals-of-statistics/volume-51/issue-5/Inference-for-extremal-regression-with-dependent-heavy-tailed-data/10.1214/23-AOS2320.full

zbMATH Keywords

extreme value analysismixingheavy tailsnonparametric regressioninferenceconditional quantilesconditional expectiles

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Related Items (2)

An expectile computation cookbook ⋮ Shrinkage for extreme partial least-squares

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