Extreme L^p-quantile Kernel Regression
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Extreme $$L^p$$-quantile Kernel Regression
Cites work
- Asymmetric Least Squares Estimation and Testing
- Beyond tail median and conditional tail expectation: extreme risk estimation using tail \(L^p\)-optimization
- Coherent measures of risk
- Conditional \(L_ p\)-quantiles and their application to the testing of symmetry in non-parametric regression
- Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Estimation of Tail Risk Based on Extreme Expectiles
- ExpectHill estimation, extreme risk and heavy tails
- Expectiles and M-quantiles are quantiles
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- Extreme value theory. An introduction.
- Extreme versions of Wang risk measures and their estimation for heavy-tailed distributions
- Generalized quantiles as risk measures
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- Kernel estimators of extreme level curves
- Non-life insurance pricing with generalized linear models
- Non-parametric estimation of extreme risk measures from conditional heavy-tailed distributions
- On kernel smoothing for extremal quantile regression
- Optimal reinsurance with expectile
- Regression Quantiles
- Tail expectile process and risk assessment
Cited in
(5)- Solution path for quantile regression with epsilon-insensitive loss in a reproducing kernel Hilbert space
- Structured kernel quantile regression
- Composite bias‐reduced Lp‐quantile‐based estimators of extreme quantiles and expectiles
- Quantile regression with an epsilon-insensitive loss in a reproducing kernel Hilbert space
- Nonparametric estimation of conditional expectile-based risk measures
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