Extreme Quantile Estimation for Autoregressive Models
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Cites work
- A moment estimator for the index of an extreme-value distribution
- A new Bayesian approach to quantile autoregressive time series model estimation and forecasting
- Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels
- Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
- Copula-based nonlinear quantile autoregression
- Detecting change-points in extremes
- Estimation of Extreme Conditional Quantiles Through Power Transformation
- Estimation of high conditional quantiles for heavy-tailed distributions
- Extremal behavior of the autoregressive process with ARCH(1) errors
- Extremal financial risk models and portfolio evaluation
- Extremal quantile regression
- Extreme value theory for space-time processes with heavy-tailed distributions
- Extreme value theory. An introduction.
- Functional nonparametric estimation of conditional extreme quantiles
- Hill's estimator for the tail index of an ARMA model
- Inference for extremal conditional quantile models, with an application to market and birthweight risks
- Kernel estimators of extreme level curves
- Modeling population dynamics: a quantile approach
- Nonparametric estimation of extreme conditional quantiles
- On extreme regression quantiles
- On maximum likelihood estimation of the extreme value index.
- Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
- Quantile Autoregression
- Quantile and probability curves without crossing
- Quantile autoregression for censored data
- Quantile regression for location-scale time series models with conditional heteroscedasticity
- REGRESSION QUANTILES FOR TIME SERIES
- Tail index and second-order parameters' semi-parametric estimation based on the log-excesses
- Tail index of an AR(1) model with ARCH(1) errors
- Tail index regression
- Testing for unit roots in autoregressive-moving average models of unknown order
- The Stationary Bootstrap
- Unit Root Quantile Autoregression Inference
- Unit root quantile autoregression testing using covariates
Cited in
(4)- Modeling extreme events: univariate and multivariate data-driven approaches. EVA (2023) Conference Data Challenge: team genEVA
- Prediction of Extremal Expectile Based on Regression Models With Heteroscedastic Extremes
- Online prediction of extreme conditional quantiles via B-spline interpolation
- Neural networks for extreme quantile regression with an application to forecasting of flood risk
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