Estimating the conditional tail index by integrating a kernel conditional quantile estimator
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Cites work
- scientific article; zbMATH DE number 4159879 (Why is no real title available?)
- scientific article; zbMATH DE number 1069355 (Why is no real title available?)
- A class of asymptotically unbiased semi-parametric estimators of the tail index.
- A moment estimator for the index of an extreme-value distribution
- A moving window approach for nonparametric estimation of the conditional tail index
- A simple general approach to inference about the tail of a distribution
- Bias-reduced estimators of the Weibull tail-coefficient
- Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
- Functional nonparametric estimation of conditional extreme quantiles
- Generalized Additive Modelling of Sample Extremes
- Kernel estimators for the second order parameter in extreme value statistics
- Kernel estimators of extreme level curves
- Local Likelihood Smoothing of Sample Extremes
- Nonparametric functional data analysis. Theory and practice.
- On exponential representations of log-spacings of extreme order statistics
- Regression with response distributions of Pareto-type
- Semi-parametric estimation for heavy tailed distributions
- Tail index estimation and an exponential regression model
- The qq-estimator and heavy tails
Cited in
(14)- Fixed-k Inference for Conditional Extremal Quantiles
- Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
- A note on tail dependence regression
- Estimating conditional means with heavy tails
- Extreme Quantile Estimation Based on the Tail Single-index Model
- A moving window approach for nonparametric estimation of the conditional tail index
- Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions
- Estimation for Extreme Conditional Quantiles of Functional Quantile Regression
- Non-parametric estimation of extreme risk measures from conditional heavy-tailed distributions
- Estimation of Extreme Conditional Quantiles Through Power Transformation
- Estimation of high conditional quantiles for heavy-tailed distributions
- Kernel estimators of extreme level curves
- Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels
- Estimation of the conditional tail index using a smoothed local Hill estimator
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