Extreme quantiles and tail index of a distribution based on kernel estimator

DOI10.1016/J.JKSS.2018.09.002MaRDI QIDQ1726172zbMATH OpenOpenAlexFDO

Authors Zuhair Bahraoui, Mohamed Amin Bahraoui

Publication date 19 February 2019

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2018.09.002

zbMATH Keywords

nonparametric estimationregular variationextreme value distributionsymmetric beta distribution

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Statistics of extreme values; tail inference (62G32)

Recommendations

• Kernel estimates of the tail index of a distribution
• Smooth tail-index estimation
• Kernel estimators of extreme level curves
• A new extreme quantile estimator for heavy-tailed distributions
• Estimation of the conditional tail index using a smoothed local Hill estimator

Cites work

• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• scientific article; zbMATH DE number 847282 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A new distribution-free quantile estimator
• A nonparametric approach to calculating value-at-risk
• A simple general approach to inference about the tail of a distribution
• An introduction to statistical modeling of extreme values
• Bootstrap variance estimation for Nadaraya quantile estimator
• Convolutions of Distributions Attracted to Stable Laws
• Kernel estimates of the tail index of a distribution
• Nonparametric Statistical Data Modeling
• Ordering probability distributions by tail behavior
• Statistical inference using extreme order statistics
• Statistics of Extremes
• Time series: theory and methods.

Cited in

(4)

• Smooth tail-index estimation
• Kernel estimates of the tail index of a distribution
• Partially smooth tail-index estimation for small samples
• Tail exponent estimation via broadband log density-quantile regression

Describes a project that uses

Uses Software

• extRemes
• QRM
• ismev
• KernSmooth

This page was built for publication: Extreme quantiles and tail index of a distribution based on kernel estimator

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1726172)