Estimation of extreme conditional quantiles under a general tail-first-order condition

DOI10.1007/S10463-019-00713-7MaRDI QIDQ778874zbMATH OpenOpenAlexWikidataFDO

Authors Laurent Gardes, Armelle Guillou, Claire Roman

Publication date 20 July 2020

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10463-019-00713-7

zbMATH Keywords

asymptotic normalityextreme quantileearthquake magnitudelocal estimation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Reliability and life testing (62N05) Statistics of extreme values; tail inference (62G32) Applications of statistics to physics (62P35) Seismology (including tsunami modeling), earthquakes (86A15)

Recommendations

• Estimation of extreme conditional quantiles through an extrapolation of intermediate regression quantiles
• Functional nonparametric estimation of conditional extreme quantiles
• Estimation of extreme conditional quantiles
• Nonparametric estimation of extreme conditional quantiles
• Kernel estimators of extreme level curves

Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1835269 (Why is no real title available?)
• scientific article; zbMATH DE number 3222478 (Why is no real title available?)
• A local moment type estimator for an extreme quantile in regression with random covariates
• A local moment type estimator for the extreme value index in regression with random covariates
• A test procedure for detecting super-heavy tails
• Asymptotic normality of convergent estimates of conditional quantiles
• Extreme value theory. An introduction.
• Nonparametric conditional quantile estimation: a locally weighted quantile kernel approach
• On kernel smoothing for extremal quantile regression
• Quantile smoothing splines
• Quantile splines with several covariates
• Regression Quantiles
• Sur la distribution limite du terme maximum d'une série aléatoire
• Uniform in bandwidth consistency of kernel regression estimators at a fixed point
• Uniform in bandwidth consistency of kernel-type function estimators
• Weak convergence and empirical processes. With applications to statistics

Cited in

(6)

• Estimation of extreme conditional quantiles
• Estimation of extreme conditional quantiles through an extrapolation of intermediate regression quantiles
• Nonparametric confidence intervals for conditional quantiles with large-dimensional covariates
• Estimation of extreme quantiles from heavy-tailed distributions with neural networks
• A local moment type estimator for an extreme quantile in regression with random covariates
• Estimation of conditional laws given an extreme component

This page was built for publication: Estimation of extreme conditional quantiles under a general tail-first-order condition

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q778874)