Test of tails based on extreme regression quantiles

DOI10.1016/S0167-7152(00)00031-6MaRDI QIDQ1579537zbMATH OpenOpenAlexFDO

Authors Jana Jurečková

Publication date 2000

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(00)00031-6

zbMATH Keywords

(Extreme) regression quantilesConsistency of the testCramér-type large deviationsDomain of attractionPareto-type tails

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Linear regression; mixed models (62J05)

Recommendations

• On extreme regression quantiles
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• scientific article; zbMATH DE number 5770651
• Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics

Cites work

• scientific article; zbMATH DE number 3858075 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1082202 (Why is no real title available?)
• scientific article; zbMATH DE number 3452922 (Why is no real title available?)
• Nonregular regression
• Regression Quantiles
• Tail Behavior of Regression Estimators and their Breakdown Points

Cited in

(11)

• Review of testing issues in extremes: in honor of Professor Laurens de Haan
• Asymptotic behaviour for the extreme values of a linear regression model
• Finite sample tail behavior of multivariate location estimators
• Statistical tests on tail index of a probability distribution. (With comments and rejoinder)
• Small sample robust testing for normality against Pareto tails
• Regime Variance Testing --- a Quantile Approach
• Nonparametric ``regression when errors are positioned at end-points
• A review of more than one hundred Pareto-tail index estimators
• A class of bootstrap tests on the tail index
• Heavy tailed durations of regional rainfall.
• Testing the tail index in autoregressive models

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