Hypothesis testing for varying coefficient models in tail index regression

DOI10.1007/S00362-024-01538-0MaRDI QIDQ6581354zbMATH OpenFDO

Authors Koki Momoki, Takuma Yoshida

Publication date 30 July 2024

Published in Statistical Papers (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S00362-024-01538-0

zbMATH Keywords

extreme value theoryhypothesis testingPareto-type modeltail index regressionvarying coefficient model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

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Cites work

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Cited in

(1)

• Single-index models for extreme value index regression

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