High quantile regression for extreme events

DOI10.1186/S40488-017-0058-3MaRDI QIDQ1690455OpenAlexWikidataFDO

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)

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Cites work

• scientific article; zbMATH DE number 47593 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• scientific article; zbMATH DE number 3008134 (Why is no real title available?)
• scientific article; zbMATH DE number 837911 (Why is no real title available?)
• A weighted linear quantile regression
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Extreme value theory. An introduction.
• Goodness of Fit and Related Inference Processes for Quantile Regression
• Multivariate Pareto Distributions
• Nonparametric econometrics. Theory and practice.
• Quantile regression.
• Regression Quantiles
• Statistical inference using extreme order statistics

Cited in

(4)

• scientific article; zbMATH DE number 5770651 (Why is no real title available?)
• Bayesian time-varying quantile regression on exceedance
• High quantile estimation and the PORT methodology
• A nonparametric approach for quantile regression

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