Inference for extremal regression with dependent heavy-tailed data
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conditional expectilesconditional quantilesextreme value analysisheavy tailsinferencemixingnonparametric regression
Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Nonparametric tolerance and confidence regions (62G15) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)
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Cites work
- A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
- All of Nonparametric Statistics
- Asymmetric Least Squares Estimation and Testing
- Basic properties of strong mixing conditions. A survey and some open questions
- Coherence and elicitability
- Coherent measures of risk
- Estimation of and inference about the expected shortfall for time series with infinite variance
- Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors
- Estimation of high conditional quantiles for heavy-tailed distributions
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Estimation of Tail Risk Based on Extreme Expectiles
- Expectiles and M-quantiles are quantiles
- Extremal quantile regression
- Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
- Extreme value theory. An introduction.
- Global nonparametric estimation of conditional quantile functions and their derivatives
- Handbook of quantile regression
- scientific article; zbMATH DE number 927296 (Why is no real title available?)
- Inference for extremal conditional quantile models, with an application to market and birthweight risks
- Kernel estimators of extreme level curves
- Nonparametric extreme conditional expectile estimation
- On automatic bias reduction for extreme expectile estimation
- On kernel smoothing for extremal quantile regression
- Statistics of Extremes
- Tail risk inference via expectiles in heavy-tailed time series
Cited in
(10)- Statistical inference in regression with heavy-tailed integrated variables
- Nonparametric confidence intervals for conditional quantiles with large-dimensional covariates
- Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model
- An expectile computation cookbook
- Shrinkage for extreme partial least-squares
- Conditional extreme value estimation for dependent time series
- Extremal local linear quantile regression for nonlinear dependent processes
- ANOVEX: ANalysis Of Variability for heavy-tailed EXtremes
- Semi-parametric bulk and tail regression using spline-based neural networks
- Adaptive confidence intervals for extreme quantiles from heavy-tailed distributions
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