High quantile regression for extreme events

DOI10.1186/S40488-017-0058-3OpenAlexW2611918680WikidataQ59522390 ScholiaQ59522390MaRDI QIDQ1690455FDOQ1690455

Authors: Mei-Ling Huang, Christine Nguyen 

Publication date: 19 January 2018

Published in: Journal of Statistical Distributions and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s40488-017-0058-3

zbMATH Keywords

linear programmingconditional quantilegeneralized Pareto distributionbivariate Pareto distributionextreme value distributionweighted loss function

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Statistics of extreme values; tail inference (62G32)

Cites Work

• Regression Quantiles
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• Nonparametric econometrics. Theory and practice.
• Goodness of Fit and Related Inference Processes for Quantile Regression
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• Extreme value theory. An introduction.
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• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
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• Multivariate Pareto Distributions
• A weighted linear quantile regression

Cited In (4)

• Title not available (Why is that?)
• High quantile estimation and the PORT methodology
• A nonparametric approach for quantile regression
• Bayesian time-varying quantile regression on exceedance

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