Extreme Quantile Estimation Based on the Tail Single-index Model
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Cites work
- A single-index quantile regression model and its estimation
- Asymptotics for argmin processes: convexity arguments
- Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels
- Estimating the conditional tail index by integrating a kernel conditional quantile estimator
- Estimation of Extreme Conditional Quantiles Through Power Transformation
- Estimation of high conditional quantiles for heavy-tailed distributions
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Extremal quantile regression
- Extreme value theory. An introduction.
- Functional nonparametric estimation of conditional extreme quantiles
- Generalized Additive Modelling of Sample Extremes
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 4159879 (Why is no real title available?)
- Kernel estimators of extreme level curves
- Local polynomial maximum likelihood estimation for Pareto-type distributions.
- On almost linearity of low dimensional projections from high dimensional data
- On kernel smoothing for extremal quantile regression
- Optimal smoothing in single-index models
- Peaks over random threshold methodology for tail index and high quantile estimation
- Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure
- Quantile regression.
- Quantiles for Counts
- Regression with response distributions of Pareto-type
- Regularized quantile regression and robust feature screening for single index models
- Semiparametric Estimation of Index Coefficients
- Single-index quantile regression
- Sliced Inverse Regression for Dimension Reduction
- Sliced inverse regression in reference curves estimation
- Sufficient dimension reduction: methods and applications with R
- Tail dimension reduction for extreme quantile estimation
- Tail index regression
- The weighted empirical process of row independent random variables with arbitrary distribution functions
Cited in
(9)- A new extreme quantile estimator for heavy-tailed distributions
- Tail dimension reduction for extreme quantile estimation
- Discussion on “on studying extreme values and systematic risks with nonlinear time series models and tail dependence measures”
- Estimation and Inference of Extremal Quantile Treatment Effects for Heavy-Tailed Distributions
- Shrinkage for extreme partial least-squares
- Single-index models for extreme value index regression
- Tail single-index regression with locally stationary regressors
- Extremal local linear quantile regression for nonlinear dependent processes
- Conditional marginal expected shortfall
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