Kernel estimation of extreme regression risk measures

DOI10.1214/18-EJS1392zbMATH Open1388.62141MaRDI QIDQ1697481FDOQ1697481

Laurent Gardes, Jonathan El Methni, Stéphane Girard

Publication date: 20 February 2018

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1518663657

Recommendations

Non-parametric estimation of extreme risk measures from conditional heavy-tailed distributions
Extremile Regression
Nonparametric estimation of conditional marginal excess moments
Reduced-bias estimator of the conditional tail expectation of heavy-tailed distributions
Kernel estimators of extreme level curves

zbMATH Keywords

asymptotic normality kernel estimator risk measures extreme-value index conditional tail moment extreme-value analysis

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30)

Cites Work

Nonparametric frontier estimation: A robust approach.
Reappraising Medfly Longevity
On Estimation of Monotone and Concave Frontier Functions
NONPARAMETRIC FRONTIER ESTIMATION: A CONDITIONAL QUANTILE-BASED APPROACH
Frontier estimation and extreme value theory
Coherent measures of risk
Statistics of Extremes
Extreme value theory. An introduction.
Consistent nonparametric regression. Discussion
Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
Remarks on Some Nonparametric Estimates of a Density Function
Title not available (Why is that?)
On Estimation of a Probability Density Function and Mode
Title not available (Why is that?)
Title not available (Why is that?)
Non-parametric estimation of conditional quantiles
Limiting distributions of linear programming estimators
Efficient estimation of monotone boundaries
Title not available (Why is that?)
Second order regular variation and conditional tail expectation of multiple risks
Conditional empirical processes
Kernel estimators of extreme level curves
Estimation of non-sharp support boundaries
On kernel smoothing for extremal quantile regression
Asymptotic normality of convergent estimates of conditional quantiles
Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions
Title not available (Why is that?)
Minimax theory of image reconstruction
Title not available (Why is that?)
On polynomial estimators of frontiers and boundaries
Extreme values and kernel estimates of point processes boundaries
Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels
Estimating the edge of a Poisson process by orthogonal series
Frontier estimation via kernel regression on high power-transformed data
Robust nonparametric estimators of monotone boundaries
Frontier estimation with kernel regression on high order moments
Title not available (Why is that?)
Refined Pickands estimators of the extreme value index
Title not available (Why is that?)
\(L_{1}\)-optimal linear programming estimator for periodic frontier functions with Hölder continuous derivative
Nonparametric kernel regression estimation near endpoints.
On the maximal life span of humans
A general estimator for the right endpoint with an application to supercentenarian women's records
Data Envelope Fitting with Constrained Polynomial Splines

Cited In (9)

Nonparametric estimation of conditional marginal excess moments
Reduced‐bias kernel estimators of a positive extreme value index
Reduced-bias estimation of the extreme conditional tail expectation for Box-Cox transforms of heavy-tailed distributions
Title not available (Why is that?)
Extreme value estimation of the conditional risk premium in reinsurance
Title not available (Why is that?)
Title not available (Why is that?)
Estimation of extreme risk regions under multivariate regular variation
On the estimation of the variability in the distribution tail

This page was built for publication: Kernel estimation of extreme regression risk measures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1697481)