An integrated functional Weissman estimator for conditional extreme quantiles

MaRDI QIDQ5205513zbMATH OpenFDO

Authors Laurent Gardes, Gilles Stupfler

Publication date 12 December 2019

Full work available at URL https://www.ine.pt/revstat/pdf/REVSTAT_v17-n1-6.pdf

zbMATH Keywords

asymptotic normalityextreme quantilefunctional random covariateheavy-tailed distributiontail index

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Recommendations

• Functional nonparametric estimation of conditional extreme quantiles
• Nonparametric estimation of extreme conditional quantiles with functional covariate
• Nonparametric estimation of the conditional extreme-value index with random covariates and censoring
• Kernel estimators of extreme level curves
• Estimation of extreme conditional quantiles

Cited in

(19)

• Functional nonparametric estimation of conditional extreme quantiles
• Nonparametric estimation of extreme conditional quantiles with functional covariate
• Kernel estimators of extreme level curves
• Functional kernel estimators of large conditional quantiles
• Semi-parametric estimation of multivariate extreme expectiles
• Asymptotic behavior of the extrapolation error associated with the estimation of extreme quantiles
• Estimation of extreme quantiles from heavy-tailed distributions in a location-dispersion regression model
• Improving precipitation forecasts using extreme quantile regression
• Nonparametric confidence intervals for conditional quantiles with large-dimensional covariates
• A nonparametric estimator for the conditional tail index of Pareto-type distributions
• A local moment type estimator for an extreme quantile in regression with random covariates
• Extreme quantile estimation for partial functional linear regression models with heavy-tailed distributions
• Efficient estimation of partially linear tail index models using B‐splines
• Gradient boosting for extreme quantile regression
• Generalized Pareto regression trees for extreme event analysis
• Extremal Random Forests
• Neural networks for extreme quantile regression with an application to forecasting of flood risk
• Modeling extreme events: univariate and multivariate data-driven approaches. EVA (2023) Conference Data Challenge: team genEVA
• Semi-parametric bulk and tail regression using spline-based neural networks

This page was built for publication: An integrated functional Weissman estimator for conditional extreme quantiles

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5205513)