Functional nonparametric estimation of conditional extreme quantiles

DOI10.1016/j.jmva.2009.06.007zbMath1178.62055arXiv1104.0166OpenAlexW2006832191MaRDI QIDQ1049546

Stéphane Girard, Laurent Gardes, Alexandre Lekina

Publication date: 12 January 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1104.0166

zbMATH Keywords

conditional quantileextreme valuesnonparametric estimationfunctional data

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

Related Items (29)

Nonparametric estimation of the conditional tail index and extreme quantiles under random censoring ⋮ Estimation of high conditional quantiles using the Hill estimator of the tail index ⋮ The stochastic approximation method for recursive kernel estimation of the conditional extreme value index ⋮ Nonparametric estimation of extreme conditional quantiles with functional covariate ⋮ Extreme Quantile Estimation Based on the Tail Single-index Model ⋮ Extreme value inference for quantile regression with varying coefficients ⋮ A moment estimator for the conditional extreme-value index ⋮ Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions ⋮ Nonparametric modelling for functional data: selected survey and tracks for future ⋮ A note on tail dependence regression ⋮ Nonparametric estimation of the conditional extreme-value index with random covariates and censoring ⋮ Statistical inference on a changing extreme value dependence structure ⋮ Estimating the conditional tail index by integrating a kernel conditional quantile estimator ⋮ On kernel smoothing for extremal quantile regression ⋮ Lower bound in regression for functional data by representation of small ball probabilities ⋮ Nonparametric depth and quantile regression for functional data ⋮ Estimation of extreme quantiles from heavy-tailed distributions in a location-dispersion regression model ⋮ Estimation of High Conditional Quantiles for Heavy-Tailed Distributions ⋮ Local Estimation of the Second-Order Parameter in Extreme Value Statistics and Local Unbiased Estimation of the Tail Index ⋮ Additive models for extremal quantile regression with Pareto-type distributions ⋮ Unnamed Item ⋮ Kernel estimators of extreme level curves ⋮ Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels ⋮ On the Strong Consistency of the Kernel Estimator of Extreme Conditional Quantiles ⋮ Estimation of Non-Crossing Quantile Regression Curves ⋮ Improving precipitation forecasts using extreme quantile regression ⋮ Semi-parametric estimation of multivariate extreme expectiles ⋮ Estimation of Extreme Conditional Quantiles Through Power Transformation ⋮ Robust conditional Weibull-type estimation

Uses Software

• fda (R)

Cites Work

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