Extreme quantile regression in a proportional tail framework
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Abstract: We revisit the model of heteroscedastic extremes initially introduced by Einmahl et al. (JRSSB, 2016) to describe the evolution of a non stationary sequence whose extremes evolve over time and adapt it into a general extreme quantile regression framework. We provide estimates for the extreme value index and the integrated skedasis function and prove their asymptotic normality. Our results are quite similar to those developed for heteroscedastic extremes but with a different proof approach emphasizing coupling arguments. We also propose a pointwise estimator of the skedasis function and a Weissman estimator of the conditional extreme quantile and prove the asymptotic normality of both estimators.
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- scientific article; zbMATH DE number 5770651 (Why is no real title available?)
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- Allan Reese's contribution to the discussion of the `Discussion meeting on the analysis of citizen science data'
- Subhash Lele's contribution to the discussion of `The discussion meeting on the analysis of citizen science data'
- Kuldeep Kumar's contribution to the discussion of `The discussion meeting on the analysis of citizen science data'
- Raphaël Huser and Andrew Zammit-Mangion's contribution to the discussion of the `Discussion meeting on the analysis of citizen science data'
- Dani Gamerman's contribution to the discussion of `The discussion meeting on the analysis of citizen science data'
- Abdelaati daouia and gilles Stupfler's contribution to the discussion of the `Discussion meeting on the analysis of citizen science data'
- Léo R. Belzile and Rishikesh Yadav's contribution to the discussion of `The discussion meeting on the analysis of citizen science data'
- Jafet Belmont, Sara Martino, Janine Illian, and Håvard Rue's contribution to the discussion of the `Discussion meeting on the analysis of citizen science data'
- Benjamin R. Baer's contribution to the discussion of `The discussion meeting on analysis of citizen science data'
- Andrej Srakar's contribution to the discussion of `The discussion meeting on the analysis of citizen science data'
- Seconder of the vote of thanks and contribution to the discussion of `the discussion meeting on the analysis of citizen science data'
- Proposer of the vote of thanks and contribution to the discussion of the `Discussion meeting on the analysis of citizen science data'
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