Estimation of extreme conditional quantiles

MaRDI QIDQ5272727zbMATH OpenFDO

Authors Huixia Judy Wang, Deyuan Li

Publication date 4 July 2017

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Statistics of extreme values; tail inference (62G32)

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Cited in

(21)

• A new extreme quantile estimator for heavy-tailed distributions
• Nonparametric estimation of extreme conditional quantiles with functional covariate
• High quantile regression for extreme events
• Extreme quantiles estimation for actuarial applications
• Adjusted extreme conditional quantile autoregression with application to risk measurement
• Estimating extreme bivariate quantile regions
• Estimation of extreme conditional quantiles through an extrapolation of intermediate regression quantiles
• A local moment type estimator for an extreme quantile in regression with random covariates
• Nonparametric estimation of extreme conditional quantiles
• Estimation of high conditional quantiles for heavy-tailed distributions
• Extreme Quantile Estimation Based on the Tail Single-index Model
• On the estimation of extreme directional multivariate quantiles
• A new weighted quantile regression
• An integrated functional Weissman estimator for conditional extreme quantiles
• Estimation of Extreme Quantiles for Functions of Dependent Random Variables
• Gradient boosting for extreme quantile regression
• Online prediction of extreme conditional quantiles via B-spline interpolation
• The application of multiple-output quantile regression to the US financial cycle
• Estimation and uncertainty quantification for extreme quantile regions
• Estimation of extreme conditional quantiles under a general tail-first-order condition
• Conditioning exceedances on covariate processes

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